NPORT-P false 0000810893 XXXXXXXX S000038441 C000118565 C000118566 C000118562 C000200465 C000118561 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Mortgage Opportunities and Bond Fund S000038441 549300PFV1F66T7RF111 2025-03-31 2024-12-31 N 39515459133.230000 28693550815.520000 10821908317.710000 0.000000 0.000000 6637906029.470000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 104700000.000000 0.000000 0.000000 118456256.440000 GBP EUR USD CAD N FHLMC PASS THRU POOLS N/A 3132XGVJ2 20500000.000000 PA USD 19814992.090000 0.183101 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 4.19 N N N N N N N/A N/A 000000000 47900000.000000 NC USD 517.320000 0.0000048 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 02/25/25-7Y LCH 2032-02-25 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2025-02-21 XXXX -437767.680000 N N N FREDDIE MAC STRIPS 244 N/A 3128HWJC2 139259.700000 PA USD 120260.250000 0.0011113 Long ABS-MBS USGSE US N 2 2036-12-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3133C1UD0 2959437.120000 PA USD 2872379.120000 0.0265423 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5 N N N N N N FREDDIE MAC REMICS 4168 N/A 3137AYFP1 1069824.360000 PA USD 27049.230000 0.0002499 Long ABS-MBS USGSE US N 2 2028-02-15 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H14 N/A 38382Y7K3 50294209.650000 PA USD 51161804.880000 0.472761 Long ABS-MBS USGSE US N 2 2073-06-20 Floating 5.7046 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KL0 7142397.610000 PA 8977752.350000 0.0829591 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 5.65383 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-11 N/A 69544AAA3 6500000.000000 PA USD 6505931.250000 0.0601182 Long ABS-O CORP US N 2 2032-07-15 Fixed 5.092 N N N N N N FREDDIE MAC REMICS 4169 N/A 3137B02S2 3462798.750000 PA USD 3337665.320000 0.0308417 Long ABS-MBS USGSE US N 2 2028-02-15 Fixed 1.5 N N N N N N FANNIE MAE REMICS 2013-66 N/A 3136AFWB6 62373.900000 PA USD 7432.910000 0.0000687 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-20 N/A 38381RAX7 20621977.860000 PA USD 429322.770000 0.0039672 Long ABS-MBS USGSE US N 2 2049-02-20 Floating 0 N N N N N N FREDDIE MAC-2962 N/A 31395TQ56 62480.650000 PA USD 1150.760000 0.0000106 Long ABS-MBS USGSE US N 2 2035-03-15 Floating 1.93795 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-82 N/A 38379NMD1 967316.790000 PA USD 990123.310000 0.0091492 Long ABS-MBS USGSE US N 2 2044-01-20 Floating 1.06526 N N N N N N FNMA PASS THRU POOLS N/A 3140H5JG7 4607615.990000 PA USD 4189002.930000 0.0387085 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132DSM90 52749611.120000 PA USD 53913432.120000 0.498188 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N BSST 2021-1818 MORTGAGE TRUST N/A 07403PAG7 3000000.000000 PA USD 2287064.100000 0.0211336 Long ABS-MBS CORP US N 2 2036-03-15 Floating 5.96248 N N N N N N GNMA PASS THRU POOLS N/A 3617JRLB2 1088493.520000 PA USD 973870.210000 0.0089991 Long ABS-MBS USGSE US N 2 2049-05-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 7054600.060000 0.0651881 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-03-06 894250.000000 USD 0.000000 USD 122500000.000000 USD 6160350.060000 N N N SEQUOIA MORTGAGE TRUST 2007-2 N/A 81744LAZ7 44557.200000 PA USD 41038.780000 0.0003792 Long ABS-MBS CORP US N 2 2036-06-20 Floating 4.86474 N N N N N N FHLMC PASS THRU POOLS N/A 3133C7ZM2 1310077.200000 PA USD 1274790.510000 0.0117797 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N FANNIE MAE REMICS 2016-55 N/A 3136ATHV9 17432756.060000 PA USD 2818866.200000 0.0260478 Long ABS-MBS USGSE US N 2 2046-03-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5196 N/A 3137H5WD5 66544396.330000 PA USD 11857619.180000 0.109571 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 3 N N N N N N N/A N/A 000000000 35900000.000000 NC USD 300375.300000 0.0027756 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.29000 12/15/25-7Y LCH 2032-12-15 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2025-12-11 XXXX -216584.700000 N N N FNMA PASS THRU POOLS N/A 31419AYM3 1184934.330000 PA USD 1118430.250000 0.0103349 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4 N N N N N N DOLP TRUST 2021-NYC N/A 23345LAL3 27180000.000000 PA USD 20233824.840000 0.186971 Long ABS-MBS CORP US N 2 2041-05-10 Variable 3.70378 N N N N N N FREDDIE MAC REMICS 4134 N/A 3137AW2L8 297157.110000 PA USD 139115.940000 0.0012855 Long ABS-MBS USGSE US N 2 2042-11-15 Floating 0 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-11 N/A 86364YAA2 2012848.820000 PA USD 1743629.080000 0.016112 Long ABS-MBS CORP US N 2 2037-12-25 Floating 6.75322 N N N N N N FHLMC PASS THRU POOLS N/A 3129882X5 372813.560000 PA USD 363828.630000 0.003362 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-10 N/A 69544MAB5 3600000.000000 PA USD 3602323.440000 0.0332873 Long ABS-O CORP US N 2 2032-06-15 Fixed 5.75 N N N N N N N/A N/A 000000000 170400000.000000 NC USD 29462.160000 0.0002722 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.75000 03/25/25-7Y LCH 2032-03-25 0.000000 USD 0.000000 USD N/A USD N/A 2.750000 USD 2025-03-21 XXXX -1538217.840000 N N N FNMA PASS THRU POOLS N/A 3140AGMX9 1226655.630000 PA USD 1284661.700000 0.0118709 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 7 N N N N N N FREDDIE MAC REMICS 4167 N/A 3137AYKL4 3752036.000000 PA USD 3616023.940000 0.0334139 Long ABS-MBS USGSE US N 2 2028-02-15 Fixed 1.5 N N N N N N FREDDIE MAC REMICS 4610 N/A 3137BRHU2 3050550.110000 PA USD 450195.000000 0.00416 Long ABS-MBS USGSE US N 2 2045-12-15 Fixed 3.5 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAL3 5700000.000000 PA USD 5639625.600000 0.052113 Long ABS-MBS CORP US N 2 2035-06-15 Floating 7.445 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-44 N/A 38380VVC2 10124628.130000 PA USD 97109.360000 0.0008973 Long ABS-MBS USGSE US N 2 2048-03-20 Floating 0 N N N N N N BWAY MORTGAGE TRUST 2021-1450 N/A 12430YAL4 7000000.000000 PA USD 5190326.400000 0.0479613 Long ABS-MBS CORP US N 2 2036-09-15 Floating 7.36157 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC N/A 74140QAA6 7588173.150000 PA USD 7592487.790000 0.0701585 Long ABS-MBS CORP US N 2 2061-02-25 Variable 4.9917 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08 N/A 38382Y3J0 15016217.220000 PA USD 15140110.020000 0.139902 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 5.4846 N N N N N N FREDDIE MAC-3152 N/A 31396R2P1 11516.460000 PA USD 9876.640000 0.0000913 Long ABS-MBS USGSE US N 2 2036-03-15 None 0 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10 N/A 12668BUH4 1228440.990000 PA USD 1128472.920000 0.0104277 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.39357 N N N N N N FREDDIE MAC REMICS 4999 N/A 3137FV3C4 9570920.820000 PA USD 849189.520000 0.0078469 Long ABS-MBS USGSE US N 2 2043-03-15 Floating 1.48795 N N N N N N PK ALIFT LOAN FUNDING 4 LP 2024-2 N/A 69381EAA1 8360000.000000 PA USD 8212541.300000 0.0758881 Long ABS-O CORP US N 2 2039-10-15 Fixed 5.052 N N N N N N UWM-2021-INV4 N/A 918307AM1 14009520.790000 PA USD 13088484.460000 0.120944 Long ABS-MBS CORP US N 2 2051-12-25 Floating 5 N N N N N N FANNIEMAE 322 N/A 3136FALR9 62061.960000 PA USD 8107.600000 0.0000749 Long ABS-MBS USGSE US N 2 2032-04-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140FUKX5 53745.920000 PA USD 49795.070000 0.0004601 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N N/A N/A 000000000 -139700000.000000 NC USD -447640.710000 -0.0041364 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08750 01/09/25-10Y LCH 2035-01-09 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2025-01-07 XXXX 334679.290000 N N N FREDDIE MAC REMICS 4988 N/A 3137FUQK3 49045187.670000 PA USD 10866682.290000 0.100414 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H08 N/A 38383KYQ9 417546.510000 PA USD 417134.890000 0.0038545 Long ABS-MBS USGSE US N 2 2074-05-20 Floating 5.2546 N N N N N N FNMA PASS THRU POOLS N/A 3140HLEQ5 131321.030000 PA USD 126865.200000 0.0011723 Long ABS-MBS USGSE US N 2 2048-06-01 Floating 3.725 N N N N N N HSI ASSET SECUR CORP TRUST 2007-HE1 N/A 40430FAD4 2186049.120000 PA USD 1537669.140000 0.0142089 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.64322 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A 81744MAQ5 51978.610000 PA USD 39670.900000 0.0003666 Long ABS-MBS CORP US N 2 2037-07-20 Floating 4.75842 N N N N N N FREDDIE MAC REMICS 2568 N/A 31393KJC0 3487.380000 PA USD 3543.170000 0.0000327 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 5069 N/A 3137F9C66 27667311.450000 PA USD 4867659.510000 0.0449797 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-109 N/A 3136AGRJ3 1889799.070000 PA USD 1102713.820000 0.0101896 Long ABS-MBS USGSE US N 2 2043-07-25 None 0 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 30166TAD5 500000.000000 PA USD 502415.900000 0.0046426 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.31 N N N N N N ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-HE1 N/A 04544RAD7 9200000.000000 PA USD 8306767.400000 0.0767588 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.89322 N N N N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 10563574.480000 PA USD 3386416.830000 0.0312922 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.59322 N N N N N N FANNIE MAE 2009-86 N/A 31398FRR4 1838.140000 PA USD 1611.460000 0.0000149 Long ABS-MBS USGSE US N 2 2037-03-25 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3142GR4P2 1301311.690000 PA USD 1330615.620000 0.0122956 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.5 N N N N N N FINANCE OF AMERICA HECM BUYOUT 2024-HB1 N/A 31737DAA4 15002516.650000 PA USD 14837608.990000 0.137107 Long ABS-MBS CORP US N 2 2034-10-01 Variable 4 N N N N N N FNMA PASS THRU POOLS N/A 3140NTDD1 985774.340000 PA USD 959991.270000 0.0088708 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N FANNIE MAE REMICS 2021-46 N/A 3136BH3P2 19461581.840000 PA USD 3002307.090000 0.0277429 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 3 N N N N N N PALMER SQUARE CLO 2022-1 LTD N/A 69689QAA3 10770000.000000 PA USD 10801859.490000 0.0998147 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 5.9374 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-6 N/A 161931AP5 9605714.640000 PA USD 9620848.440000 0.0889016 Long ABS-MBS CORP US N 2 2055-05-25 Floating 5.81879 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A3 N/A 46628KAV2 9287.080000 PA USD 8991.110000 0.0000831 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.84265 N N N N N N FREDDIE MAC REMICS 5002 N/A 3137FUAM6 5362043.380000 PA USD 537160.930000 0.0049636 Long ABS-MBS USGSE US N 2 2050-07-25 Floating 1.41673 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAE3 15140000.000000 PA USD 14496615.100000 0.133956 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.31148 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12 N/A 38382Y5K5 3694765.450000 PA USD 3751070.720000 0.0346618 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 5.6046 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-4 N/A 36271BAC5 8700000.000000 PA USD 8666803.410000 0.0800857 Long ABS-O CORP US N 2 2029-12-17 Fixed 4.43 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS4 N/A 52475WAA4 5085446.190000 PA USD 5089321.810000 0.047028 Long ABS-MBS CORP US N 2 2060-11-25 Fixed 4.65 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE3 N/A 590238AB7 10423262.130000 PA USD 4128662.470000 0.038151 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.73322 N N N N N N GNMA PASS THRU POOLS N/A 3620ADKS0 425084.160000 PA USD 408518.970000 0.0037749 Long ABS-MBS USGSE US N 2 2041-12-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FKN5 5656357.440000 PA USD 5488250.040000 0.0507143 Long ABS-MBS USGSE US N 2 2040-09-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LKQJ5 5029907.290000 PA USD 4989962.480000 0.0461098 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.56 N N N N N N GLOBAL MORTGAGE SECURITIZATION LTD 2005-A N/A 378961AQ9 483020.430000 PA USD 467775.100000 0.0043225 Long ABS-MBS CORP KY N 2 2032-04-25 Floating 4.72322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-57 N/A 38381VSX9 4246318.840000 PA USD 278654.910000 0.0025749 Long ABS-MBS USGSE US N 2 2049-05-20 Floating 1.05526 N N N N N N FHLMC PASS THRU POOLS N/A 3133CQD93 834799.810000 PA USD 874400.510000 0.0080799 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 7 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-36T2 N/A 02146XAD0 7999609.430000 PA USD 3431647.650000 0.0317102 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133B6UH1 5187034.480000 PA USD 4419048.690000 0.0408343 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 874304.830000 PA USD 844663.270000 0.0078051 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.19322 N N N N N N N/A N/A 000000000 1.000000 NC USD 15729996.410000 0.145353 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-07 1792250.000000 USD 0.000000 USD 267500000.000000 USD 13937746.410000 N N N FNMA PASS THRU POOLS N/A 3140NGD72 2513803.090000 PA USD 2506765.550000 0.0231638 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N FREDDIE MAC REMICS-3800 N/A 3137A7G46 18734.220000 PA USD 18516.960000 0.0001711 Long ABS-MBS USGSE US N 2 2031-02-15 Fixed 4 N N N N N N PAGAYA AI DEBT TRUST 2022-6 N/A 69546NAF2 461967.280000 PA USD 464199.780000 0.0042894 Long ABS-O CORP US N 2 2030-05-15 Fixed 7.656 N N N N N N FREDDIE MAC REMICS 5442 N/A 3137HF4U6 28677759.100000 PA USD 28838288.590000 0.266481 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 5.53879 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6FF5 4287903.460000 PA 4433627.360000 0.040969 Long ABS-CBDO CORP IE N 2 2034-04-24 Floating 3.718 N N N N N N PRPM 2024-RCF3 LLC N/A 74390BAA6 861137.500000 PA USD 841902.960000 0.0077796 Long ABS-MBS CORP US N 2 2054-05-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2013-38 N/A 3136ADNY1 3908329.290000 PA USD 3764624.710000 0.0347871 Long ABS-MBS USGSE US N 2 2028-04-25 Fixed 1.5 N N N N N N FHF TRUST 2022-1A N/A 30327CAC0 8000000.000000 PA USD 8017683.200000 0.0740875 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.39 N N N N N N FNMA PASS THRU POOLS N/A 3140K0SM1 362171.480000 PA USD 312631.310000 0.0028889 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3 N N N N N N FREDDIE MAC REMICS 5080 N/A 3137FXV54 3704551.970000 PA USD 627517.020000 0.0057986 Long ABS-MBS USGSE US N 2 2050-01-25 Fixed 3 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-8 N/A 69544QAA8 4437193.520000 PA USD 4450916.870000 0.0411288 Long ABS-O CORP US N 2 2032-01-15 Fixed 5.331 N N N N N N JP MORGAN MORTGAGE TRUST 2024-5 N/A 46658RAP3 53431937.580000 PA USD 53489392.940000 0.494269 Long ABS-MBS CORP US N 2 2054-11-25 Floating 5.81879 N N N N N N FANNIE MAE REMICS 2013-80 N/A 3136AFZF4 4129769.050000 PA USD 3073162.680000 0.0283976 Long ABS-MBS USGSE US N 2 2043-08-25 None 0 N N N N N N N/A N/A 000000000 236500000.000000 NC USD 189.200000 0.0000017 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.87000 01/23/25-7Y LCH 2032-01-23 0.000000 USD 0.000000 USD N/A USD N/A 2.870000 USD 2025-01-21 XXXX -999023.300000 N N N GNMA PASS THRU POOLS N/A 36179XBR6 5505729.510000 PA USD 4785428.520000 0.0442198 Long ABS-MBS USGSE US N 2 2052-07-20 Fixed 3 N N N N N N PENFED AUTO RECEIVABLES OWNER TRUST 2024-A N/A 70687FAC3 7200000.000000 PA USD 7196333.040000 0.0664978 Long ABS-O CORP US N 2 2029-06-15 Fixed 4.7 N N N N N N FNMA PASS THRU POOLS N/A 3140LRC22 2128295.150000 PA USD 1764265.570000 0.0163027 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.5 N N N N N N FANNIE MAE INTEREST STRIP FNS 426 N/A 31422MZN9 9402908.330000 PA USD 1168025.980000 0.0107932 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3140QQLA1 25441854.770000 PA USD 23995303.160000 0.221729 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418EW48 62743230.560000 PA USD 63102948.790000 0.583104 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6 N N N N N N OBX 2024-HYB1 TRUST N/A 67448MAA8 10711894.890000 PA USD 10544705.780000 0.0974385 Long ABS-MBS CORP US N 2 2053-03-25 Floating 3.62693 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05 N/A 38382YW82 11935206.940000 PA USD 11957541.290000 0.110494 Long ABS-MBS USGSE US N 2 2073-01-20 Floating 5.4046 N N N N N N FHLMC PASS THRU POOLS N/A 3133AMBZ8 1351509.140000 PA USD 1161260.200000 0.0107306 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2 N/A 36267BAB3 19480193.520000 PA USD 16272629.660000 0.150367 Long ABS-MBS CORP US N 2 2052-08-26 Variable 3 N N N N N N FANNIE MAE REMICS 2013-43 N/A 3136ADZ69 3235252.170000 PA USD 201035.330000 0.0018577 Long ABS-MBS USGSE US N 2 2041-08-25 Floating 1.56673 N N N N N N FREDDIE MAC STRIPS 345 N/A 31325VRC0 3445761.340000 PA USD 534433.380000 0.0049384 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 3.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-38 N/A 12667GY98 499378.780000 PA USD 440870.010000 0.0040739 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.32522 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACG8 153435.430000 PA USD 145255.070000 0.0013422 Long ABS-MBS CORP US N 2 2035-11-20 Floating 5.12474 N N N N N N FREDDIE MAC REMICS 4324 N/A 3137BAGM8 238428.350000 PA USD 14713.530000 0.000136 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 1.99404 N N N N N N FANNIE MAE REMICS 2019-15 N/A 3136B36U9 9325384.650000 PA USD 872547.330000 0.0080628 Long ABS-MBS USGSE US N 2 2049-04-25 Floating 1.31673 N N N N N N GNMA PASS THRU POOLS N/A 36179XS98 427849.150000 PA USD 384707.360000 0.0035549 Long ABS-MBS USGSE US N 2 2053-02-20 Fixed 3.5 N N N N N N LCCM 2021-FL3 TRUST N/A 50190FAA9 14112931.880000 PA USD 14169847.920000 0.130937 Long ABS-CBDO CORP US N 2 2038-11-15 Floating 5.96157 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAD6 2000000.000000 PA USD 1999383.200000 0.0184753 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.15 N N N N N N BSST 2021-1818 MORTGAGE TRUST N/A 07403PAL6 32020000.000000 PA USD 19890157.980000 0.183795 Long ABS-MBS CORP US N 2 2036-03-15 Floating 7.01248 N N N N N N FNR-2021-69 N/A 3136BJJB2 7533471.980000 PA USD 32344.210000 0.0002989 Long ABS-MBS USGSE US N 2 2051-05-25 Floating 0 N N N N N N BANC OF AMERICA COMM MTGE INC 2006-4 N/A 05950WAM0 510790.720000 PA USD 506065.910000 0.0046763 Long ABS-MBS CORP US N 2 2046-07-10 Variable 5.754 N N N N N N FREDDIE MAC REMICS 5069 N/A 3137F9C58 12258554.840000 PA USD 1671973.720000 0.0154499 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAB4 3937000.000000 PA USD 3942249.750000 0.0364284 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.35 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H12 N/A 38383KZF2 8104252.910000 PA USD 8207967.900000 0.0758458 Long ABS-MBS USGSE US N 2 2074-07-20 Floating 5.5046 N N N N N N ACE SECURITIES CORP 2007-HE2 N/A 00443PAE9 3475694.970000 PA USD 1798249.850000 0.0166168 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.75322 N N N N N N GNMA PASS THRU POOLS N/A 36179WVW5 8745003.700000 PA USD 7832813.760000 0.0723792 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5010 N/A 3137FVPT3 3702853.430000 PA USD 550251.430000 0.0050846 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.5 N N N N N N CIM TRUST 2021-INV1 N/A 12566PBL8 83410935.280000 PA USD 2468692.600000 0.022812 Long ABS-O CORP US N 2 2051-07-01 Variable 0.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133C3W36 1265107.030000 PA USD 1268619.560000 0.0117227 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2016-89 N/A 3136AUNR8 6999884.320000 PA USD 1268304.140000 0.0117198 Long ABS-MBS USGSE US N 2 2046-12-25 Fixed 3.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-BC5 N/A 126670NH7 3601675.420000 PA USD 3582355.310000 0.0331028 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.53322 N N N N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBQ7 9250000.000000 PA USD 9279727.280000 0.0857495 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.67901 N N N N N N GNMA PASS THRU POOLS N/A 36196RX78 984754.830000 PA USD 893309.300000 0.0082546 Long ABS-MBS USGSE US N 2 2046-12-20 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4123 N/A 3137AUXP9 1715952.880000 PA USD 284937.580000 0.002633 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 4.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10 N/A 23245FAC7 1144508.350000 PA USD 1412156.430000 0.0130491 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.81322 N N N N N N FREDDIE MAC-2528 N/A 31397JJW5 37254.900000 PA USD 32108.410000 0.0002967 Long ABS-MBS USGSE US N 2 2037-06-15 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-164 N/A 38380KJB2 3675899.880000 PA USD 159158.010000 0.0014707 Long ABS-MBS USGSE US N 2 2046-11-20 Floating 0 N N N N N N GNMA PASS THRU POOLS N/A 21H030625 916200000.000000 PA USD 794624547.820000 7.34274 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-6 N/A 3136ABL84 1506096.980000 PA USD 1242535.580000 0.0114817 Long ABS-MBS USGSE US N 2 2033-02-25 Floating 0 N N N N N N GNMA PASS THRU POOLS N/A 36195T3P8 833164.710000 PA USD 755840.510000 0.0069844 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133CRBN2 3853562.120000 PA USD 3895322.520000 0.0359948 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6 N N N N N N BAIN CAPITAL CREDIT CLO 2021-3 LTD N/A 05683NAJ1 11600000.000000 PA USD 11600000.000000 0.10719 Long ABS-CBDO CORP KY N 2 2034-07-24 Floating 5.38742 N N N N N N FANNIE MAE REMICS 2017-25 N/A 3136AWAJ6 521992.060000 PA USD 35352.230000 0.0003267 Long ABS-MBS USGSE US N 2 2046-01-25 Fixed 3 N N N N N N FANNIEMAE STRIP-435 N/A 31424UBC9 53496665.300000 PA USD 8827411.990000 0.0815698 Long ABS-MBS USGSE US N 2 2052-08-25 Fixed 3 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAC2 1800000.000000 PA USD 1819346.400000 0.0168117 Long ABS-O CORP US N 2 2059-06-25 Fixed 5.55 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2004-2 N/A 007036CG9 6256812.770000 PA USD 5915096.310000 0.0546585 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.60322 N N N N N N FIRST FRANKLIN MTG LN ASSET BC 2005-FFH4 N/A 32027NXE6 7658893.030000 PA USD 7385754.690000 0.0682482 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.20322 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2007-S1 N/A 466275AA2 771082.460000 PA USD 740622.310000 0.0068437 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.01322 N N N N N N BANK OF AMERICA MTGE SECURITIES 2005-C N/A 05949AY79 911318.270000 PA USD 891028.040000 0.0082336 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.7412 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 N/A 802920AD0 4900000.000000 PA USD 4896465.140000 0.0452459 Long ABS-O CORP US N 2 2028-11-15 Fixed 4.62 N N N N N N FREDDIE MAC STRIPS 399 N/A 3142G4V40 36473247.650000 PA USD 5176532.780000 0.0478338 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 2.5 N N N N N N FANNIE MAE INTEREST STRIP 338 N/A 3136FAW30 437390.250000 PA USD 371298.110000 0.003431 Long ABS-MBS USGSE US N 2 2033-07-25 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-153 N/A 38380HB35 3280395.430000 PA USD 116732.220000 0.0010787 Long ABS-MBS USGSE US N 2 2046-10-20 Floating 0 N N N N N N MFA 2021-RPL1 TRUST N/A 55283QAD6 1372000.000000 PA USD 1114386.280000 0.0102975 Long ABS-MBS CORP US N 2 2060-07-25 Variable 2.8547 N N N N N N FNMA PASS THRU POOLS N/A 3138EE3S6 4098.440000 PA USD 3865.130000 0.0000357 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4 N N N N N N RAMP SERIES 2005-RS7 N/A 76112BXA3 2500000.000000 PA USD 2203771.250000 0.020364 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.50322 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-C N/A 78449CAB4 2129575.770000 PA USD 2166112.480000 0.020016 Long ABS-O CORP US N 2 2050-05-16 Floating 6.44757 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MU8 1230000.000000 PA USD 1217989.720000 0.0112549 Long DBT UST US N 2 2025-03-27 None 0 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-NC2 N/A 17309TAC2 2110682.700000 PA USD 1589023.040000 0.0146834 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.77322 N N N N N N FANNIE MAE REMICS 2023-36 N/A 3136BQDR7 445139041.840000 PA USD 72151340.900000 0.666716 Long ABS-MBS USGSE US N 2 2052-10-25 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H06 N/A 38380QP71 11071646.250000 PA USD 11382322.180000 0.105178 Long ABS-MBS USGSE US N 2 2071-03-20 Floating 6.1046 N N N N N N FANNIE MAE REMICS 2016-50 N/A 3136ATDT8 2902393.380000 PA USD 658862.450000 0.0060882 Long ABS-MBS USGSE US N 2 2046-08-25 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-23 N/A 38381RNK1 1172348.010000 PA USD 1152660.420000 0.0106512 Long ABS-MBS USGSE US N 2 2049-02-20 Floating 4.93474 N N N N N N FANNIE MAE REMICS 2013-9 N/A 3136ABSD6 1642095.170000 PA USD 192492.140000 0.0017787 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2019-33 N/A 3136B44H8 6095145.810000 PA USD 691027.400000 0.0063854 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 1.31673 N N N N N N MF1 2021-FL7 LTD N/A 55284AAE8 10000000.000000 PA USD 9750207.000000 0.0900969 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 6.23969 N N N N N N FREDDIE MAC 4930 N/A 3137FPV69 12951055.130000 PA USD 1793679.690000 0.0165745 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.36673 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAE0 5000000.000000 PA USD 4733097.000000 0.0437363 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 6.43969 N N N N N N GNMA PASS THRU POOLS N/A 36241LR40 5685023.040000 PA USD 5452972.960000 0.0503883 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 4.5 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JP3 682000.000000 PA 842682.630000 0.0077868 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 7.85383 N N N N N N COLT 2024-3 MORTGAGE LOAN TRUST N/A 19688VAA8 7332899.350000 PA USD 7404871.760000 0.0684248 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.393 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2024-A N/A 14319FAB9 2830200.540000 PA USD 2847011.370000 0.0263078 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.78 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2006-12XS N/A 61749EAH0 2238933.140000 PA USD 615330.470000 0.005686 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.22629 N N N N N N FREDDIE MAC REMICS 4976 N/A 3137FTAM9 8633343.730000 PA USD 1681788.310000 0.0155406 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FXRT1 25683482.510000 PA USD 21447835.520000 0.198189 Long ABS-MBS USGSE US N 2 2060-07-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3128M9JJ2 1209838.320000 PA USD 1174992.650000 0.0108575 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.5 N N N N N N N/A N/A 000000000 -10500000.000000 NC USD -30404.850000 -0.000281 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JAN 30YR N/A 96.480000 USD 2025-01-07 XXXX 13892.030000 N N N FANNIE MAE 2005-70 N/A 31394EW38 23610.500000 PA USD 23974.740000 0.0002215 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 5.5 N N N N N N RAAC 2004-SP1 N/A 7609855V9 34172.680000 PA USD 33769.420000 0.000312 Long ABS-MBS CORP US N 2 2034-03-25 Floating 5.15322 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR1 N/A 25151RAG9 5875057.290000 PA USD 4979131.030000 0.0460097 Long ABS-MBS CORP US N 2 2047-01-25 Floating 4.93322 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-5AR N/A 61748HLF6 40237.740000 PA USD 26396.840000 0.0002439 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.49718 N N N N N N N/A N/A 000000000 1.000000 NC USD -675313.220000 -0.0062402 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-03-19 0.000000 USD -586978.000000 USD 23300000.000000 USD -88335.220000 N N N FNMA PASS THRU POOLS N/A 3140QRM42 24653478.230000 PA USD 24794807.250000 0.229117 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133BSQN5 917432.170000 PA USD 918198.380000 0.0084846 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.5 N N N N N N TOWD POINT MORTGAGE TRUST 2024-4 N/A 89183GAA4 24679046.110000 PA USD 23998180.840000 0.221755 Long ABS-MBS CORP US N 2 2064-10-27 Variable 4.39125 N N N N N N GNMA PASS THRU POOLS N/A 36202EUU1 60259.410000 PA USD 62648.640000 0.0005789 Long ABS-MBS USGSE US N 2 2038-07-20 Fixed 6 N N N N N N CSAB MORTGAGE BACKED TR 2006-3 N/A 12628KAA0 57854.950000 PA USD 7974.360000 0.0000737 Long ABS-MBS CORP US N 2 2036-11-25 Variable 6.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 97526.590000 0.0009012 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 3900000.000000 USD 97526.590000 N N N FREDDIE MAC REMICS 3842 N/A 3137A9QP4 7747.550000 PA USD 7544.160000 0.0000697 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FRGG4 419708.190000 PA USD 401255.380000 0.0037078 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 4 N N N N N N AMERIQUEST MORTGAGE SECURITIES 2006-R2 N/A 03072SZ99 12700000.000000 PA USD 11347711.620000 0.104859 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.02322 N N N N N N BEAR STEARNS ALT-A TRUST 2006-R1 N/A 073866BN4 4941537.990000 PA USD 3303469.040000 0.0305258 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.29246 N N N N N N BCC-2021-5A N/A 05682EAN3 1800000.000000 PA USD 1803849.890000 0.0166685 Long ABS-CBDO CORP KY N 2 2034-10-23 Floating 5.67094 N N N N N N FEDERAL HOME LOAN MTGE 5199 N/A 3137H6AU9 9708486.800000 PA USD 874854.080000 0.0080841 Long ABS-MBS USGSE US N 2 2047-08-15 Floating 1.85635 N N N N N N FANNIE MAE REMICS 2012-115 N/A 3136A9CF3 3317292.910000 PA USD 499461.900000 0.0046153 Long ABS-MBS USGSE US N 2 2042-10-25 Floating 1.41673 N N N N N N COLOGIX CANADIAN ISSUER LP 2022-1CAN N/A 19521DAD3 30000000.000000 PA 20459183.970000 0.189053 Long ABS-O CORP CA N 2 2052-01-25 Fixed 4.94 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MT1 2227000.000000 PA USD 2208924.270000 0.0204116 Long DBT UST US N 2 2025-03-13 None 0 N N N N N N FANNIE MAE REMICS 2012-146 N/A 3136ABFJ7 3866388.320000 PA USD 385467.320000 0.0035619 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 3.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ6 N/A 36267JAE0 35712871.760000 PA USD 1063373.970000 0.0098261 Long ABS-O CORP US N 2 2053-01-25 Variable 0.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02 N/A 38383KMM1 3928839.970000 PA USD 3940759.280000 0.0364146 Long ABS-MBS USGSE US N 2 2073-12-20 Floating 5.6046 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MM6 10004000.000000 PA USD 9930824.740000 0.0917659 Long DBT UST US N 2 2025-03-06 None 0 N N N N N N FREDDIE MAC REMICS 5287 N/A 3137H9MY2 40876617.940000 PA USD 6926420.280000 0.0640037 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAJ5 4000000.000000 PA USD 3575900.000000 0.0330432 Long ABS-MBS CORP US N 2 2038-09-15 Floating 6.51248 N N N N N N GNMA PASS THRU POOLS N/A 36202E4K2 4518.650000 PA USD 4697.790000 0.0000434 Long ABS-MBS USGSE US N 2 2039-04-20 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H18 N/A 38375BUL4 124265.860000 PA USD 124128.050000 0.001147 Long ABS-MBS USGSE US N 2 2062-08-20 Floating 5.28648 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A4 N/A 46628LAQ1 2809711.760000 PA USD 1937084.410000 0.0178997 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.30613 N N N N N N WAMU COMMERCIAL MORTGAGE SECURITIES TRUST 2006-SL1 N/A 933633AF6 215611.560000 PA USD 215595.150000 0.0019922 Long ABS-MBS CORP US N 2 2043-11-23 Variable 6.42458 N N N N N N FNMA PASS THRU POOLS N/A 31418FE52 481797.130000 PA USD 492180.140000 0.004548 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 6.5 N N N N N N VERUS SECURITIZATION TRUST 2023-6 N/A 92539XAA2 14558466.250000 PA USD 14718658.880000 0.136008 Long ABS-MBS CORP US N 2 2068-09-25 Fixed 6.665 N N N N N N FNMA PASS THRU POOLS N/A 3140LKVD2 1500000.000000 PA USD 1493830.170000 0.0138038 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 4.84 N N N N N N FREDDIE MAC REMICS 4206 N/A 3137B2F62 73468.250000 PA USD 73237.860000 0.0006768 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 2 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-11 N/A 41161PUK7 18666.680000 PA USD 17283.050000 0.0001597 Long ABS-MBS CORP US N 2 2045-08-19 Floating 5.10083 N N N N N N FREDDIE MAC REMICS 5471 N/A 3137HH7G0 56240407.880000 PA USD 56418307.540000 0.521334 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.86879 N N N N N N FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3 N/A 362334AW4 5500000.000000 PA USD 5129534.300000 0.0473995 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.02322 N N N N N N N/A N/A 000000000 1.000000 NC USD 38361.350000 0.0003545 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 2100000.000000 USD 38361.350000 N N N TOWD POINT MORTGAGE TRUST 2024-CES6 N/A 891947AA1 9794695.180000 PA USD 9823656.130000 0.0907756 Long ABS-MBS CORP US N 2 2064-11-25 Variable 5.725 N N N N N N FNMA PASS THRU POOLS N/A 3140NSPT5 1260837.840000 PA USD 1227998.130000 0.0113473 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N FREDDIE MAC STRIPS 414 N/A 3142G9V64 104800258.250000 PA USD 27311146.420000 0.252369 Long ABS-MBS USGSE US N 2 2054-05-25 Fixed 5 N N N N N N PRKCM 2024-AFC1 TRUST N/A 69380WAA2 5283975.110000 PA USD 5324654.850000 0.0492025 Long ABS-MBS CORP US N 2 2059-03-25 Fixed 6.333 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZ85 63504000.000000 PA 79510579.800000 0.734719 Long ABS-MBS CORP GB N 2 2066-05-16 Floating 5.70536 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAB7 1837000.000000 PA USD 1650855.320000 0.0152548 Long ABS-MBS CORP US N 2 2059-07-25 Variable 3 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2024-PT2 N/A 69546YAF8 2230000.000000 PA USD 1890935.680000 0.0174732 Long ABS-O CORP US N 3 2032-04-15 Variable 0 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAE0 5500000.000000 PA USD 4792374.400000 0.044284 Long ABS-MBS CORP US N 2 2058-10-25 Variable 3.00784 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-20 N/A 38383VYR3 66313766.490000 PA USD 65829981.040000 0.608303 Long ABS-MBS USGSE US N 2 2053-02-20 Floating 5.2946 N N N N N N FANNIE MAE REMICS 2020-65 N/A 3136BBUK6 16178511.710000 PA USD 2575638.480000 0.0238002 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132LQQW0 397242.810000 PA USD 373105.350000 0.0034477 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3.5 N N N N N N BEAR STEARNS COMM MTGE SEC 2006-T24 N/A 07388NAH9 103226.960000 PA USD 100095.510000 0.0009249 Long ABS-MBS CORP US N 2 2041-10-12 Variable 5.657 N N N N N N GOVERNMENT NATL MTGE ASSOC 2015-159 N/A 38379FWQ8 773582.900000 PA USD 581672.610000 0.005375 Long ABS-MBS USGSE US N 2 2045-08-20 Floating 0 N N N N N N FANNIE MAE REMICS 2017-53 N/A 3136AW4E4 563709.290000 PA USD 104334.640000 0.0009641 Long ABS-MBS USGSE US N 2 2047-07-25 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F022626 -674735000.000000 PA USD -549750887.360000 -5.07998 Short ABS-MBS USGSE US N 2 2055-02-13 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 3158 N/A 31396NX27 200153.950000 PA USD 205205.520000 0.0018962 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H05 N/A 38380QF23 1077771.520000 PA USD 1072423.080000 0.0099097 Long ABS-MBS USGSE US N 2 2071-03-20 Floating 5.3546 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-HE9 N/A 61744CJT4 1759089.930000 PA USD 1653045.660000 0.015275 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.33822 N N N N N N FNMA PASS THRU POOLS N/A 3140H6LZ0 494413.090000 PA USD 458476.570000 0.0042366 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD -385313.870000 -0.0035605 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-12-20 21790.390000 USD 0.000000 USD 7400000.000000 USD -407104.260000 N N N LEHMAN XS TRUST 2006-18N N/A 52522GAC8 6011761.120000 PA USD 5700594.170000 0.0526764 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.81322 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2005-AR2 N/A 36185N6M7 7933.370000 PA USD 7312.220000 0.0000676 Long ABS-MBS CORP US N 2 2035-05-25 Floating 7.25 N N N N N N FANNIE MAE REMICS 2016-16 N/A 3136ARTM0 1281963.750000 PA USD 221030.680000 0.0020424 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-182 N/A 38380UAZ6 5529370.160000 PA USD 301950.060000 0.0027902 Long ABS-MBS USGSE US N 2 2047-05-20 Floating 0 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAB4 7315785.960000 PA USD 7358134.120000 0.0679929 Long ABS-O CORP US N 2 2059-06-25 Fixed 5.88 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF4 N/A 863911AA1 805903.730000 PA USD 664537.660000 0.0061407 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.74322 N N N N N N FNMA PASS THRU POOLS N/A 3140LLM32 4884179.000000 PA USD 4893327.070000 0.0452169 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 4.64 N N N N N N ALLY AUTO RECEIVABLES TRUST 2024-2 N/A 02007NAC2 10400000.000000 PA USD 10333210.160000 0.0954842 Long ABS-O CORP US N 2 2029-07-16 Fixed 4.14 N N N N N N FREDDIE MAC 3266 N/A 31397EHY4 17492.390000 PA USD 15619.550000 0.0001443 Long ABS-MBS USGSE US N 2 2037-01-15 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36197AND2 745954.820000 PA USD 676723.600000 0.0062533 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-AB2 N/A 126673QH8 780010.250000 PA USD 761396.480000 0.0070357 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.35322 N N N N N N J.P. MORGAN MORTGAGE TRUST 2021-15 N/A 46654TCA4 38270083.960000 PA USD 1092098.080000 0.0100915 Long ABS-O CORP US N 2 2052-06-25 Variable 0.5 N N N N N N FANNIE MAE REMICS 2012-118 N/A 3136A93T3 1125574.480000 PA USD 29248.500000 0.0002703 Long ABS-MBS USGSE US N 2 2027-11-25 Fixed 3 N N N N N N FHF ISSUER TRUST 2024-1A N/A 31568AAB2 6306194.770000 PA USD 6368849.340000 0.0588514 Long ABS-O CORP US N 2 2030-02-15 Fixed 5.69 N N N N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01 N/A 3137G1BL0 1727798.780000 PA USD 1438950.220000 0.0132966 Long ABS-MBS MUN US N 2 2046-12-25 Fixed 3.5 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAG5 9200000.000000 PA USD 9067438.120000 0.0837878 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.81248 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAG3 1500000.000000 PA USD 1526886.450000 0.0141092 Long ABS-O CORP US N 2 2059-06-25 Fixed 6.36 N N N N N N STRUCTURED ASSET INVST LN TR 2006-4 N/A 86360WAA0 5951513.440000 PA USD 3418040.470000 0.0315845 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.79822 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR25 N/A 45661HAA5 1953555.310000 PA USD 1630012.950000 0.0150622 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.45979 N N N N N N ANTHRACITE LTD 2004-HY1A N/A 000000000 5912389.130000 PA USD 59.120000 0.0000005 Long ABS-MBS CORP US N 2 2041-06-20 Fixed 5.678 N N N N N N FANNIE MAE 2003-35 N/A 31393BL86 2508.320000 PA USD 2473.500000 0.0000229 Long ABS-MBS USGSE US N 2 2033-05-25 Fixed 3.75 N N N N N N FREDDIE MAC REMICS 5040 N/A 3137F6PA9 43600816.220000 PA USD 5542500.880000 0.0512156 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N FREDDIE MAC REMICS 5071 N/A 3137F9R52 7017692.230000 PA USD 1519629.320000 0.0140422 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2020-2 N/A 3136B8JL4 14858060.290000 PA USD 1508356.110000 0.013938 Long ABS-MBS USGSE US N 2 2059-07-25 Floating 1.36673 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO8 N/A 75115FAD2 557022.190000 PA USD 532298.200000 0.0049187 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.85322 N N N N N N N/A N/A 000000000 1.000000 NC USD 1688495.830000 0.0156026 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-05-01 573165.000000 USD 0.000000 USD 27100000.000000 USD 1115330.830000 N N N FHLMC PASS THRU POOLS N/A 3132DWKQ5 15203046.570000 PA USD 15526841.970000 0.143476 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N FREDDIE MAC STRIPS 414 N/A 3142G9U73 38582709.060000 PA USD 5347144.850000 0.0494104 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3138WKW92 4456.240000 PA USD 4134.210000 0.0000382 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N VERUS SECURITIZATION TRUST 2024-3 N/A 92540MAA3 7263731.280000 PA USD 7330941.130000 0.0677417 Long ABS-MBS CORP US N 2 2069-04-25 Variable 6.338 N N N N N N FREDDIE MAC REMICS 5087 N/A 3137FFM87 16180704.430000 PA USD 2371735.290000 0.0219161 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.5 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAE0 8558000.000000 PA USD 8446880.360000 0.0780535 Long ABS-O CORP US N 2 2030-12-10 Fixed 4.9 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO2 N/A 761118HU5 1400508.890000 PA USD 1167970.490000 0.0107926 Long ABS-MBS CORP US N 2 2045-09-25 Floating 6.18522 N N N N N N FANNIE MAE REMICS 2010-53 N/A 31398R3N3 96896.300000 PA USD 90460.880000 0.0008359 Long ABS-MBS USGSE US N 2 2040-07-25 Fixed 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19 N/A 38383KCS9 73972927.810000 PA USD 74785557.410000 0.691057 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 5.5046 N N N N N N GSAA HOME EQUITY TRUST 2007-6 N/A 36245RAF6 272588.270000 PA USD 164262.670000 0.0015179 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.05322 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-1 N/A 37988XAB1 3969579.530000 PA USD 3990970.010000 0.0368786 Long ABS-O CORP US N 2 2030-03-15 Fixed 5.24 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAA6 3937000.000000 PA USD 3940795.030000 0.036415 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.15 N N N N N N VERUS SECURITIZATION TRUST 2024-5 N/A 92540HAA4 8802083.220000 PA USD 8870158.530000 0.0819648 Long ABS-MBS CORP US N 2 2069-06-25 Variable 6.192 N N N N N N FNMA PASS THRU POOLS N/A 3138WKKN4 982214.250000 PA USD 945825.570000 0.0087399 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N BHR 2018-PRME N/A 10482TAJ1 3175000.000000 PA USD 3158656.690000 0.0291876 Long ABS-MBS CORP US N 2 2035-06-15 Floating 5.82 N N N N N N FANNIE MAE REMICS 2016 30 N/A 3136ARZ76 226077.180000 PA USD 22314.740000 0.0002062 Long ABS-MBS USGSE US N 2 2046-05-25 Floating 1.31673 N N N N N N ANGEL OAK MORTGAGE TRUST 2024-4 N/A 034943AA8 8546131.060000 PA USD 8604231.080000 0.0795075 Long ABS-MBS CORP US N 2 2069-01-25 Fixed 6.197 N N N N N N JP MORGAN MORTGAGE TRUST 2024-9 N/A 46593DAX5 12760317.030000 PA USD 12804018.560000 0.118316 Long ABS-MBS CORP US N 2 2055-02-25 Floating 5.91879 N N N N N N N/A N/A 000000000 100.000000 NC USD -55208.100000 -0.0005102 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-31 10631640.600000 USD -55208.100000 N N N N/A N/A 000000000 -2102889284.550000 PA USD -2106675653.540000 -19.4668 Short RA US N 2 Reverse repurchase N 4.630000 2025-01-07 2276201367.520000 USD 2152918708.090000 USD AMBS N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2009-41 N/A 38374UU41 644620.560000 PA USD 33642.360000 0.0003109 Long ABS-MBS USGSE US N 2 2039-06-16 Floating 1.53843 N N N N N N FREDDIEMAC STRIP-186 N/A 31351BFA8 47945.210000 PA USD 46134.190000 0.0004263 Long ABS-MBS USGSE US N 2 2027-08-01 None 0 N N N N N N UMBS PASS THRU POOLS N/A 01F020422 -187000000.000000 PA USD -165264023.210000 -1.52712 Short ABS-MBS USGSE US N 2 2040-02-18 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC USD 36383303.560000 0.3362 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-21 22629686.040000 USD 0.000000 USD 258700000.000000 USD 13753617.520000 N N N FHLMC PASS THRU POOLS N/A 3133KMR31 26438579.930000 PA USD 21850021.880000 0.201905 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.5 N N N N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAN9 19700000.000000 PA USD 19840934.590000 0.18334 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 5.92587 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2015-9 N/A 17324MAB0 2603681.260000 PA USD 2358476.710000 0.0217935 Long ABS-MBS CORP US N 2 2036-02-20 Variable 4.84727 N N N N N N CSMC 2021-RPL7 TRUST N/A 12598JAC5 22521234.310000 PA USD 22472658.260000 0.207659 Long ABS-MBS CORP US N 2 2061-07-27 Variable 4.18428 N N N N N N FNR-2020-46 N/A 3136BAXC3 16302467.250000 PA USD 2638026.120000 0.0243767 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 241144.540000 PA USD 247250.830000 0.0022847 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.89322 N N N N N N FNMA PASS THRU POOLS N/A 31418CYK4 3025772.880000 PA USD 2895440.620000 0.0267554 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2020-99 N/A 3136BDEZ7 18974422.900000 PA USD 886393.960000 0.0081907 Long ABS-MBS USGSE US N 2 2035-11-25 Fixed 1.5 N N N N N N FREDDIE MAC REMICS 4147 N/A 3137AXDJ9 4346128.450000 PA USD 566396.590000 0.0052338 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 1.38795 N N N N N N TOWD POINT MORTGAGE TRUST 2024-CES3 N/A 89183EAA9 14010185.330000 PA USD 14143658.960000 0.130695 Long ABS-MBS CORP US N 2 2064-05-25 Variable 6.29 N N N N N N FHLMC PASS THRU POOLS N/A 3133W6Q67 16963380.740000 PA USD 16521117.750000 0.152664 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F040412 74600000.000000 PA USD 71620180.580000 0.661807 Long ABS-MBS USGSE US N 2 2040-01-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4182 N/A 3137B0ZL1 271736.920000 PA USD 14351.680000 0.0001326 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 3 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-D N/A 22411JAA3 7161622.790000 PA USD 7174208.630000 0.0662934 Long ABS-O CORP US N 2 2028-06-15 Fixed 4.91 N N N N N N FNMA PASS THRU POOLS N/A 3140Q77G6 86116.820000 PA USD 82569.200000 0.000763 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DQ5K8 1040736.570000 PA USD 980056.090000 0.0090562 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12 N/A 38382YAZ6 1980559.700000 PA USD 2023603.600000 0.0186991 Long ABS-MBS USGSE US N 2 2071-08-20 Floating 6.1046 N N N N N N FANNIE MAE REMICS 2021-3 N/A 3136BDYF9 18646742.590000 PA USD 2428868.750000 0.022444 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC USD 0.000000 0 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 0.000000 USD 0.000000 USD 0.060000 USD 0.000000 N N N FANNIE MAE REMICS 2012-136 N/A 3136A97E2 734083.060000 PA USD 481915.330000 0.0044531 Long ABS-MBS USGSE US N 2 2042-12-25 Floating 0 N N N N N N MERRILL LYNCH MORTGAGE INV 2006-OPT1 N/A 59022VAA9 8336957.600000 PA USD 7499131.710000 0.0692958 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.74322 N N N N N N FANNIE MAE 2008-41 N/A 31397LLL1 620100.700000 PA USD 65757.960000 0.0006076 Long ABS-MBS USGSE US N 2 2036-11-25 Floating 2.11673 N N N N N N MORGAN STANLEY CAPITAL INC 2004-NC7 N/A 61744CFQ4 85069.860000 PA USD 88183.770000 0.0008149 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.38322 N N N N N N GNMA PASS THRU POOLS N/A 36179WXL7 11729164.550000 PA USD 10494905.030000 0.0969783 Long ABS-MBS USGSE US N 2 2052-02-20 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GNKM4 778783.490000 PA USD 723483.630000 0.0066854 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWNK5 28128567.000000 PA USD 27773733.850000 0.256644 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5.5 N N N N N N FANNIE MAE 2007-30 N/A 31396VJP4 343894.730000 PA USD 257236.630000 0.002377 Long ABS-MBS USGSE US N 2 2037-04-25 Fixed 0 N N N N N N ACE SECURITIES CORP-2006-ASP5 N/A 004422AD3 5255119.290000 PA USD 1779558.910000 0.016444 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.71322 N N N N N N GNMA PASS THRU POOLS N/A 36176ND40 109388.540000 PA USD 104879.290000 0.0009691 Long ABS-MBS USGSE US N 2 2042-01-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FKR6 20171.490000 PA USD 20970.960000 0.0001938 Long ABS-MBS USGSE US N 2 2040-09-20 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWL50 192980790.710000 PA USD 197060946.900000 1.82094 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 6210825.270000 PA 6428156.640000 0.0593995 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.834 N N N N N N GNMA PASS THRU POOLS N/A 36241LVM5 6339208.020000 PA USD 6027011.980000 0.0556927 Long ABS-MBS USGSE US N 2 2041-03-15 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 5000 N/A 3137FVFL1 4528588.660000 PA USD 731261.550000 0.0067572 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 5 N N N N N N FANNIE MAE REMICS 2022-1 N/A 3136BLLZ1 18464408.200000 PA USD 1228185.960000 0.0113491 Long ABS-MBS USGSE US N 2 2062-02-25 Floating 1.76238 N N N N N N CASCADE MH ASSET TRUST 2024-MH1 N/A 14731VAA6 1471697.830000 PA USD 1478648.360000 0.0136635 Long ABS-O CORP US N 2 2056-11-25 Variable 5.695 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAG9 4000000.000000 PA USD 1883782.400000 0.0174071 Long ABS-MBS CORP US N 2 2036-03-15 Floating 7.61248 N N N N N N FANNIE MAE REMICS 2013-10 N/A 3136ACCD1 349120.910000 PA USD 33476.820000 0.0003093 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2022-78 N/A 3136BPHH7 88101173.370000 PA USD 87236786.330000 0.806113 Long ABS-MBS USGSE US N 2 2052-11-25 Floating 5.81879 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127 N/A 38379MX90 2294952.240000 PA USD 88540.630000 0.0008182 Long ABS-MBS USGSE US N 2 2043-06-20 Floating 0 N N N N N N FANNIE MAE REMICS 2014-92 N/A 3136AMEE5 554720.310000 PA USD 30162.310000 0.0002787 Long ABS-MBS USGSE US N 2 2045-01-25 Floating 1.52588 N N N N N N LENDMARK FUNDING TRUST 2024-2 N/A 52590AAA2 700000.000000 PA USD 688252.110000 0.0063598 Long ABS-O CORP US N 2 2034-02-21 Fixed 4.47 N N N N N N N/A N/A 000000000 173000000.000000 NC USD 2106499.900000 0.0194651 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.31250 06/10/26-7Y LCH 2033-06-10 0.000000 USD 0.000000 USD N/A USD N/A 3.310000 USD 2026-06-08 XXXX -1446487.600000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAD9 11680000.000000 PA USD 11133659.820000 0.102881 Long ABS-O CORP US N 2 2055-02-16 Fixed 4.95 N N N N N N GNMA PASS THRU POOLS N/A 36202E6V6 65226.310000 PA USD 61643.660000 0.0005696 Long ABS-MBS USGSE US N 2 2039-07-20 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 4124 N/A 3137AUR68 1305372.750000 PA USD 73119.800000 0.0006757 Long ABS-MBS USGSE US N 2 2042-04-15 Floating 0.28795 N N N N N N FREDDIE MAC REMICS 5426 N/A 3137HCXU1 1244926.950000 PA USD 1251870.160000 0.0115679 Long ABS-MBS USGSE US N 2 2050-03-15 Floating 5.75448 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2024-PT2 N/A 69544PAA0 3210000.000000 PA USD 3213368.030000 0.0296932 Long ABS-O CORP US N 3 2032-04-15 Fixed 5.162 N N N N N N UMBS PASS THRU POOLS N/A 01F030413 -29425000.000000 PA USD -27379397.540000 -0.253 Short ABS-MBS USGSE US N 2 2040-01-16 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 21H032613 329250000.000000 PA USD 294332388.880000 2.71978 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UKZ4 7222.560000 PA USD 7088.920000 0.0000655 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H12 N/A 38383KZE5 16856358.610000 PA USD 17018719.060000 0.157262 Long ABS-MBS USGSE US N 2 2074-07-20 Floating 5.4546 N N N N N N FREDDIE MAC REMICS 4156 N/A 3137AXTT0 1419547.460000 PA USD 100913.640000 0.0009325 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 1.48795 N N N N N N ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2 N/A 67114WAA9 4770619.460000 PA USD 4000102.880000 0.036963 Long ABS-MBS CORP US N 2 2052-01-25 Variable 3 N N N N N N GNMA PASS THRU POOLS N/A 3617GAPT9 560632.830000 PA USD 496061.320000 0.0045839 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-22CB N/A 12667FRY3 8311065.140000 PA USD 8414385.810000 0.0777533 Long ABS-MBS CORP US N 2 2034-10-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31416NEC2 85869.410000 PA USD 83284.220000 0.0007696 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 21H022622 63000000.000000 PA USD 52627148.910000 0.486302 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 2.5 N N N N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336W25 2469793.540000 PA USD 2293002.510000 0.0211885 Long ABS-MBS CORP US N 2 2035-01-25 Variable 5.3424 N N N N N N FNMA PASS THRU POOLS N/A 3138MTEY9 5947.900000 PA USD 5602.070000 0.0000518 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 5476 N/A 3137HHFE6 80847089.130000 PA USD 4738900.640000 0.0437899 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 0.83121 N N N N N N GNMA PASS THRU POOLS N/A 3622A2LP5 135879.820000 PA USD 131656.250000 0.0012166 Long ABS-MBS USGSE US N 2 2044-05-20 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133CSM40 5837754.660000 PA USD 5786293.220000 0.0534683 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.5 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-3 N/A 37989EAG1 500000.000000 PA USD 504933.900000 0.0046658 Long ABS-O CORP US N 2 2030-08-15 Fixed 5.92 N N N N N N OBX 2024-NQM9 TRUST N/A 67119DAA6 8324752.110000 PA USD 8382889.680000 0.0774622 Long ABS-MBS CORP US N 2 2064-01-25 Fixed 6.03 N N N N N N FANNIE MAE 2008-22 N/A 31397LGE3 1034482.010000 PA USD 1039889.250000 0.0096091 Long ABS-MBS USGSE US N 2 2048-04-25 Floating 5.52327 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-F N/A 83207VAA6 10563766.160000 PA USD 10478348.600000 0.0968253 Long ABS-O CORP US N 2 2054-03-16 Fixed 5.06 N N N N N N GNMA PASS THRU POOLS N/A 36179WTZ1 1563768.100000 PA USD 1358387.690000 0.0125522 Long ABS-MBS USGSE US N 2 2051-12-20 Fixed 3 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-6 N/A 54251RAA1 8483117.580000 PA USD 5807694.140000 0.0536661 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.74322 N N N N N N FHLMC PASS THRU POOLS N/A 3133AMSX5 1686889.660000 PA USD 1448520.190000 0.0133851 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H15 N/A 38384AV59 8347167.080000 PA USD 8369959.850000 0.0773427 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 5.6046 N N N N N N GNMA PASS THRU POOLS N/A 36202EYD5 18238.780000 PA USD 17837.560000 0.0001648 Long ABS-MBS USGSE US N 2 2038-12-20 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140X6J69 8629375.500000 PA USD 8061543.950000 0.0744928 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-23 N/A 38381RPW3 9069944.100000 PA USD 556311.370000 0.0051406 Long ABS-MBS USGSE US N 2 2035-12-20 Floating 1.63526 N N N N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAQ2 2200000.000000 PA USD 2203015.250000 0.020357 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 6.22587 N N N N N N FANNIE MAE REMICS 2015-50 N/A 3136APNG3 13820018.040000 PA USD 751972.060000 0.0069486 Long ABS-MBS USGSE US N 2 2045-07-25 Floating 1.73525 N N N N N N FANNIEMAE STRIP-436 N/A 31424UFR2 23436380.550000 PA USD 1636033.960000 0.0151178 Long ABS-MBS USGSE US N 2 2037-07-25 Fixed 2 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1 N/A 81375WCS3 7931963.010000 PA USD 7522872.020000 0.0695152 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.06822 N N N N N N FREDDIE MAC STRIPS 328 N/A 31352DC24 9268023.480000 PA USD 521931.150000 0.0048229 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 1.59204 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2 N/A 35563PRE1 1100000.000000 PA USD 1043714.210000 0.0096445 Long ABS-MBS CORP US N 2 2059-11-25 Variable 4.25 N N N N N N SAXON ASSET SECURITIES TRUST 2007-3 N/A 80557BAA2 993746.460000 PA USD 945526.900000 0.0087372 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.76322 N N N N N N FNMA PASS THRU POOLS N/A 3140AET90 768290.670000 PA USD 773247.330000 0.0071452 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-151 N/A 38378UUL9 516132.250000 PA USD 76819.630000 0.0007099 Long ABS-MBS USGSE US N 2 2043-05-16 Fixed 5 N N N N N N FREDDIE MAC REMICS 5104 N/A 3137H0GB8 19110837.860000 PA USD 3779365.030000 0.0349233 Long ABS-MBS USGSE US N 2 2049-06-25 Fixed 3.5 N N N N N N N/A N/A 000000000 214000000.000000 NC USD 1370520.200000 0.0126643 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/15/25-10Y LCH 2035-09-15 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-11 XXXX 792720.200000 N N N FANNIE MAE 2005-69 N/A 31394EP77 120760.450000 PA USD 105220.890000 0.0009723 Long ABS-MBS USGSE US N 2 2035-08-25 None 0 N N N N N N FANNIE MAE REMICS 2013-30 N/A 3136ADNA3 286741.490000 PA USD 34325.390000 0.0003172 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 5146 N/A 3137H2FW9 13426635.280000 PA USD 1549749.240000 0.0143205 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H23 N/A 38376RB70 788574.800000 PA USD 789324.420000 0.0072938 Long ABS-MBS USGSE US N 2 2066-10-20 Floating 5.51648 N N N N N N FNMA PASS THRU POOLS N/A 3140J84U4 1201157.070000 PA USD 1184175.120000 0.0109424 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 5 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2020-CNP N/A 61770YAA3 10000000.000000 PA USD 8325213.000000 0.0769293 Long ABS-MBS CORP US N 2 2042-04-05 Variable 2.4276 N N N N N N N/A N/A 000000000 139700000.000000 NC USD 101086.920000 0.0009341 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 04/16/25-10Y LCH 2035-04-16 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2025-04-14 XXXX -1659133.080000 N N N FREDDIE MAC REMICS 4463 N/A 3137BHGF8 354826.590000 PA USD 20751.960000 0.0001918 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 1.63685 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45 N/A 12667G6K4 972288.650000 PA USD 692800.000000 0.0064018 Long ABS-MBS CORP US N 2 2035-10-20 Floating 6.87522 N N N N N N FANNIE MAE REMICS 2019-50 N/A 3136B6AJ2 3856627.220000 PA USD 3771035.940000 0.0348463 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 5.13327 N N N N N N FREDDIE MAC REMICS 4182 N/A 3137B0ZW7 2959596.340000 PA USD 2473126.600000 0.022853 Long ABS-MBS USGSE US N 2 2033-02-15 Floating 0 N N N N N N N/A N/A 000000000 -390200000.000000 NC USD -1355164.600000 -0.0125224 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25000 03/03/25-5Y LCH 2030-03-03 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2025-02-27 XXXX 2900069.080000 N N N N/A N/A 000000000 1.000000 NC USD 4595378.240000 0.0424637 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-03-03 332621.120000 USD 0.000000 USD 905300000.000000 USD 4262757.120000 N N N UMBS PASS THRU POOLS N/A 01F052623 479123360.000000 PA USD 472474814.280000 4.36591 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 5.5 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-3 N/A 37989EAC0 1867818.960000 PA USD 1890427.410000 0.0174685 Long ABS-O CORP US N 2 2029-10-15 Fixed 5.59 N N N N N N FREDDIE MAC REMICS 4562 N/A 3137BNB60 2059999.200000 PA USD 112734.490000 0.0010417 Long ABS-MBS USGSE US N 2 2031-03-15 Fixed 2.5 N N N N N N PRKCM 2023-AFC4 TRUST N/A 69380GAA7 4593703.250000 PA USD 4684098.600000 0.0432835 Long ABS-MBS CORP US N 2 2058-11-25 Fixed 7.225 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAJ6 8896000.000000 PA USD 8163304.090000 0.0754331 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.30997 N N N N N N FREDDIE MAC REMICS 5069 N/A 3137F9CS8 8760067.160000 PA USD 1255954.480000 0.0116057 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 9263366.400000 PA USD 9206311.380000 0.0850711 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAL0 13939000.000000 PA USD 13838954.220000 0.127879 Long ABS-MBS CORP US N 2 2035-04-15 Floating 6.67 N N N N N N FNMA PASS THRU POOLS N/A 3140H6DW6 2983792.340000 PA USD 2768159.780000 0.0255792 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N KKR CLO LTD 21 N/A 48252KAC3 11700000.000000 PA USD 11726398.360000 0.108358 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.31751 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWYA3 511929.240000 PA USD 490659.790000 0.0045339 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.5 N N N N N N BANK OF AMERICA MTGE SECS-2006-B N/A 05950TAC9 46484.200000 PA USD 41243.210000 0.0003811 Long ABS-MBS CORP US N 2 2046-11-20 Floating 5.4993 N N N N N N OPEN TRUST 2023-AIR N/A 68373BAA9 10081332.720000 PA USD 10180854.630000 0.0940763 Long ABS-MBS CORP US N 2 2040-11-15 Floating 7.48618 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA4 N/A 32052NAE9 74784.440000 PA USD 64798.140000 0.0005988 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.63164 N N N N N N FHR 3387 N/A 31397PFH8 6823.130000 PA USD 5691.070000 0.0000526 Long ABS-MBS USGSE US N 2 2037-11-15 None 0 N N N N N N KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP N/A 50085PAJ6 17515000.000000 PA USD 11464332.910000 0.105936 Long ABS-MBS CORP US N 2 2044-11-05 Fixed 2.92693 N N N N N N FNMA PASS THRU POOLS N/A 3140LKDR1 1272000.000000 PA USD 1269221.250000 0.0117283 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 4.55 N N N N N N N/A N/A 000000000 1.000000 NC USD 12298612.980000 0.113646 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-06-20 0.000000 USD -7348239.860000 USD 144900000.000000 USD 19646852.840000 N N N GSAA HOME EQUITY TRUST 2006-19 N/A 362244AC9 6166108.110000 PA USD 2132440.580000 0.0197048 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.93322 N N N N N N FREDDIEMAC STRIP-179 N/A 31282XYN5 525.500000 PA USD 505.470000 0.0000047 Long ABS-MBS USGSE US N 2 2026-09-01 None 0 N N N N N N FREDDIE MAC REMICS 3281 N/A 31397EWH4 311443.600000 PA USD 24670.690000 0.000228 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 1.71795 N N N N N N FANNIE MAE REMICS 2012-97 N/A 3136A73E0 243312.750000 PA USD 238675.550000 0.0022055 Long ABS-MBS USGSE US N 2 2041-10-25 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140HSNN7 12198000.000000 PA USD 12068355.140000 0.111518 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 3.575 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H08 N/A 38375BQP0 706081.200000 PA USD 707536.570000 0.006538 Long ABS-MBS USGSE US N 2 2062-04-20 Floating 5.46648 N N N N N N HSI ASSET SECURI CORP TRUS 2005-I1 N/A 40430HCN6 605963.350000 PA USD 552055.880000 0.0051013 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.23322 N N N N N N FNMA PASS THRU POOLS N/A 3138NYX67 1529737.140000 PA USD 1426193.840000 0.0131788 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.5 N N N N N N ALLY AUTO RECEIVABLES TRUST 2024-2 N/A 02007NAB4 16200000.000000 PA USD 16198908.120000 0.149686 Long ABS-O CORP US N 2 2027-07-15 Fixed 4.46 N N N N N N N/A N/A 000000000 -92600000.000000 NC USD -85414.240000 -0.0007893 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.14150 01/09/25-7Y LCH 2032-01-09 0.000000 USD 0.000000 USD N/A USD N/A 4.140000 USD 2025-01-07 XXXX 187755.760000 N N N N/A N/A 000000000 158500000.000000 NC USD 488211.700000 0.0045113 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% MAR 30YR N/A 99.090000 USD 2025-03-06 XXXX 290086.700000 N N N FHLMC PASS THRU POOLS N/A 3132DVKN4 795703.270000 PA USD 740419.990000 0.0068419 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H20 N/A 38383K2U5 995157.460000 PA USD 998631.160000 0.0092279 Long ABS-MBS USGSE US N 2 2074-11-20 Floating 5.3646 N N N N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A 30336CAG0 1200000.000000 PA USD 1214474.880000 0.0112224 Long ABS-O CORP US N 2 2030-04-15 Fixed 5.46 N N N N N N FREDDIE MAC REMICS 5056 N/A 3137F74P7 6963237.440000 PA USD 955548.360000 0.0088298 Long ABS-MBS USGSE US N 2 2050-12-25 Floating 1.73121 N N N N N N FREDDIE MAC REMICS 4585 N/A 3137BPGW3 1254262.770000 PA USD 200402.090000 0.0018518 Long ABS-MBS USGSE US N 2 2046-04-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418ACE6 7699.540000 PA USD 7644.940000 0.0000706 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 4.5 N N N N N N HSBC ASSET LOAN OBLIGATION 2006-2 N/A 40431HAH0 727997.890000 PA USD 64377.140000 0.0005949 Long ABS-O CORP US N 2 2036-12-25 Floating 2.17678 N N N N N N FNMA PASS THRU POOLS N/A 3140QCBM7 1671489.850000 PA USD 1457659.250000 0.0134695 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3 N N N N N N BNPP AM EURO CLO 2017 BV 17-1A N/A ACI1G3M70 245697.090000 PA 253911.500000 0.0023463 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.829 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 1457942.800000 PA USD 1459207.570000 0.0134838 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 5.86748 N N N N N N BSST 2021-1818 MORTGAGE TRUST N/A 07403PAJ1 5590000.000000 PA USD 3807219.310000 0.0351807 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.46248 N N N N N N FNMA PASS THRU POOLS N/A 3140JLYX6 1580448.230000 PA USD 1508865.510000 0.0139427 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.5 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D N/A 78471CAB5 97820.670000 PA USD 96066.560000 0.0008877 Long ABS-O CORP US N 2 2040-09-25 Fixed 2.65 N N N N N N FREDDIE MAC-3149 N/A 31396RH59 67978.790000 PA USD 57909.780000 0.0005351 Long ABS-MBS USGSE US N 2 2036-05-15 None 0 N N N N N N AREIT TRUST 2021-CRE5 N/A 04002PAE4 10000000.000000 PA USD 9998295.500000 0.0923894 Long ABS-MBS CORP KY N 2 2038-11-17 Floating 6.3163 N N N N N N MOUNTAIN VIEW CLO XIV LTD 2019-1A N/A 62432MAN9 17100000.000000 PA USD 17126284.920000 0.158256 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 6.07651 N N N N N N FREDDIE MAC REMICS 5010 N/A 3137FVQG0 17235122.550000 PA USD 2847271.540000 0.0263103 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2018 N/A 3136B1VD3 5139084.700000 PA USD 596503.330000 0.005512 Long ABS-MBS USGSE US N 2 2048-04-25 Floating 1.51673 N N N N N N N/A N/A 000000000 590600000.000000 NC USD 59.060000 0.0000005 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 01/23/25-1Y LCH 2026-01-23 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-01-21 XXXX -649600.940000 N N N BEAR STEARNS ALT-A TR 2005-3 N/A 07386HRX1 9578.520000 PA USD 8711.110000 0.0000805 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.4216 N N N N N N FNMA PASS THRU POOLS N/A 3138WDN31 752399.990000 PA USD 686846.790000 0.0063468 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H020626 21800000.000000 PA USD 17445960.990000 0.16121 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 31406AUA8 97239.550000 PA USD 97823.690000 0.0009039 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 6.143 N N N N N N FANNIE MAE REMICS 2013-54 N/A 3136AEVQ7 705088.030000 PA USD 80162.370000 0.0007407 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-64 N/A 3136ATUB8 3013363.670000 PA USD 357694.400000 0.0033053 Long ABS-MBS USGSE US N 2 2046-05-25 Fixed 3 N N N N N N CITIGROUP MTGE LOAN TR INC 2004-OPT1 N/A 17307GJK5 1114624.800000 PA USD 1073160.200000 0.0099166 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.39822 N N N N N N FANNIE MAE REMICS 2021-56 N/A 3136BGM32 19408848.070000 PA USD 1827428.440000 0.0168864 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.5 N N N N N N BANC OF AMERICA FUNDING TRUST 2015-R4 N/A 05990RCG4 3179215.410000 PA USD 3075587.290000 0.02842 Long ABS-MBS CORP US N 2 2035-01-27 Floating 2.47192 N N N N N N FANNIE MAE REMICS 2020-56 N/A 3136BBMQ2 13632762.740000 PA USD 2232183.580000 0.0206265 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3617MYGP8 184514.400000 PA USD 165782.320000 0.0015319 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 3.5 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAE4 29900000.000000 PA USD 19236138.090000 0.177752 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.81248 N N N N N N KKR CLO LTD 18 N/A 48251JAN3 19500000.000000 PA USD 19562240.100000 0.180765 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 6.49396 N N N N N N FREDDIE MAC REMICS 4964 N/A 3137FRN64 2407978.780000 PA USD 641794.250000 0.0059305 Long ABS-MBS USGSE US N 2 2050-03-25 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 31418ENL0 89323956.230000 PA USD 89851727.720000 0.830276 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N JAMESTOWN CLO 2022 XVIIIA LTD N/A 47047RAN6 20100000.000000 PA USD 20158191.910000 0.186272 Long ABS-CBDO CORP KY N 2 2035-07-25 Floating 5.89587 N N N N N N FNMA PASS THRU POOLS N/A 3140QTLD9 2299100.690000 PA USD 2353734.960000 0.0217497 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.5 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-2 N/A 89616PAA1 1420120.160000 PA USD 1431235.870000 0.0132254 Long ABS-O CORP US N 2 2027-12-15 Fixed 6.36 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-WMC3 N/A 61746RJL6 7300224.770000 PA USD 6540878.020000 0.0604411 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.24822 N N N N N N N/A N/A 000000000 238500000.000000 NC USD 5839887.150000 0.0539636 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25000 12/02/25-10Y LCH 2035-12-02 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2025-11-28 XXXX 2172949.650000 N N N FREDDIE MAC REMICS 5426 N/A 3137HCXW7 1317383.690000 PA USD 1322186.610000 0.0122177 Long ABS-MBS USGSE US N 2 2049-04-15 Floating 5.75448 N N N N N N FANNIE MAE REMICS 2015-31 N/A 3136ANPP6 2168117.100000 PA USD 2111655.860000 0.0195128 Long ABS-MBS USGSE US N 2 2045-05-25 Floating 5.08327 N N N N N N IMPAC SECURED ASSETS CORP. 2006-2 N/A 45256VAE7 1320097.530000 PA USD 1138674.410000 0.0105219 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.01322 N N N N N N FHLMC PASS THRU POOLS N/A 3133CSZ79 4632690.060000 PA USD 4670235.090000 0.0431554 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617B8GX0 2111054.730000 PA USD 1915116.050000 0.0176967 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2013-4 N/A 3136ACGD7 4529329.310000 PA USD 4370483.010000 0.0403855 Long ABS-MBS USGSE US N 2 2028-02-25 Fixed 1.5 N N N N N N FANNIE MAE 2010-141 N/A 31398SXH1 32578.430000 PA USD 31102.240000 0.0002874 Long ABS-MBS USGSE US N 2 2040-12-25 Fixed 4 N N N N N N ACCUNIA EUROPEAN CLO I DAC 1A N/A ACI19ZJ97 611759.920000 PA 633965.220000 0.0058582 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 4.134 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08 N/A 38382Y3K7 68516424.620000 PA USD 69403246.410000 0.641322 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 5.6046 N N N N N N PAGAYA AI DEBT TRUST 2023-3 N/A 69548BAB5 4224157.610000 PA USD 4281992.240000 0.0395678 Long ABS-O CORP US N 2 2030-12-16 Fixed 9.57 N N N N N N FREDDIE MAC STRIPS 226 N/A 3128HVBU2 313312.530000 PA USD 260878.050000 0.0024106 Long ABS-MBS USGSE US N 2 2034-02-01 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36241L7B6 1200758.470000 PA USD 1165794.960000 0.0107725 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 4.5 N N N N N N FANNIE MAE INTEREST STRIP 405 N/A 3136FGS73 257224.350000 PA USD 197859.790000 0.0018283 Long ABS-MBS USGSE US N 2 2040-10-25 None 0 N N N N N N ENTERPRISE FLEET FINANCING 2024-3 LLC N/A 29375QAC2 3500000.000000 PA USD 3523438.100000 0.0325584 Long ABS-O CORP US N 2 2028-08-21 Fixed 4.98 N N N N N N CIM TRUST 2024-R1 N/A 17179VAA8 7582501.730000 PA USD 7387036.970000 0.06826 Long ABS-MBS CORP US N 2 2064-06-25 Variable 4.75 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2024-1 N/A 17332CBX3 11398163.100000 PA USD 11434418.380000 0.10566 Long ABS-MBS CORP US N 2 2054-07-25 Floating 5.91879 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC5 N/A 76112BH60 13088.770000 PA USD 12990.550000 0.00012 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.14322 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZQ5 956000.000000 PA 1197713.780000 0.0110675 Long ABS-MBS CORP GB N 2 2066-05-16 Floating 10.2054 N N N N N N FANNIE MAE REMICS 2012-9 N/A 3136A3F55 209276.100000 PA USD 198223.370000 0.0018317 Long ABS-MBS USGSE US N 2 2041-07-25 Fixed 2 N N N N N N FREDDIE MAC REMICS 5140 N/A 3137H24K7 3880096.630000 PA USD 975835.770000 0.0090172 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 4.5 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6FG3 2800000.000000 PA 2747792.590000 0.025391 Long ABS-CBDO CORP IE N 2 2034-04-24 Fixed 1.6 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-MC N/A 05608GAE9 2900000.000000 PA USD 2780597.720000 0.0256942 Long ABS-MBS CORP US N 2 2034-04-15 Floating 5.71148 N N N N N N AMERICAN HOME MTGE ASSETS 2005-2 N/A 02660VBH0 879402.990000 PA USD 564223.110000 0.0052137 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.50139 N N N N N N FANNIEMAE WHOLE LOAN 2004-W14 N/A 31394BT53 16223082.110000 PA USD 73742.020000 0.0006814 Long ABS-MBS USGSE US N 2 2044-07-25 Variable 0 N N N N N N FREDDIE MAC REMICS 5092 N/A 3137FYCM6 10254312.090000 PA USD 1588437.040000 0.014678 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.5 N N N N N N BLACKROCK EUROPEAN CLO VII DAC 7A N/A ACI1W2WD0 5504784.890000 PA 5696643.890000 0.0526399 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.804 N N N N N N RIVERVIEW HECM TRUST 2007-4A N/A 76942LAA2 1038507.200000 PA USD 908615.390000 0.0083961 Long ABS-MBS CORP US N 2 2047-05-25 Floating 4.72322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-84 N/A 38380FJD9 3692872.910000 PA USD 157275.030000 0.0014533 Long ABS-MBS USGSE US N 2 2046-07-20 Floating 0 N N N N N N REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A N/A 75585RQM0 5535444.740000 PA 3811137.050000 0.0352169 Long ABS-MBS CORP CA N 2 2053-08-12 Fixed 3.65 N N N N N N FANNIE MAE REMICS 2012-137 N/A 3136AAH40 92937.290000 PA USD 51554.030000 0.0004764 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 2 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-24 N/A 38383WDB9 37805353.540000 PA USD 37574612.350000 0.347209 Long ABS-MBS USGSE US N 2 2053-02-20 Floating 5.3546 N N N N N N BCAP LLC TRUST 2012-RR11 N/A 05542AAB7 2029610.940000 PA USD 1800235.880000 0.0166351 Long ABS-MBS CORP US N 2 2037-01-26 Floating 3.3342 N N N N N N FNMA PASS THRU POOLS N/A 31418C3A0 11707233.060000 PA USD 11209342.940000 0.10358 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 4 N N N N N N N/A N/A 000000000 179200000.000000 NC USD 6207129.600000 0.0573571 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.48000 02/07/25-7Y LCH 2032-02-07 0.000000 USD 0.000000 USD N/A USD N/A 3.480000 USD 2025-02-05 XXXX 4128409.600000 N N N THUNDERBOLT II AIRCRAFT LEASE LTD 2018-A N/A 886065AA9 10878755.540000 PA USD 10467727.870000 0.0967272 Long ABS-O CORP KY N 2 2038-09-15 Variable 4.147 N N N N N N FANNIE MAE REMICS 2015-87 N/A 3136AQWT3 371805.340000 PA USD 39861.700000 0.0003683 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 3 N N N N N N CROSS 2023-H1 MORTGAGE TRUST N/A 22758CAA9 4966927.620000 PA USD 5016461.800000 0.0463547 Long ABS-MBS CORP US N 2 2068-03-25 Fixed 6.615 N N N N N N COUNTRYWIDE ASSET BACKED CERTS 2006-25 N/A 12667TAA3 1719415.550000 PA USD 1595303.150000 0.0147414 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.73322 N N N N N N GNMA PASS THRU POOLS N/A 36196VYM5 1108489.800000 PA USD 1005614.190000 0.0092924 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N JP MORGAN MORTGAGE TRUST 2006-A7 N/A 46629DAL9 1577899.630000 PA USD 1223782.980000 0.0113084 Long ABS-MBS CORP US N 2 2037-01-25 Variable 4.56175 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 N/A 31572LAD8 2200000.000000 PA USD 1473569.240000 0.0136165 Long ABS-MBS CORP US N 2 2066-06-25 Fixed 2.296 N N N N N N FREDDIE MAC REMICS 5460 N/A 3137HFUG8 55364190.240000 PA USD 4893618.630000 0.0452196 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 1.43121 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE2 N/A 61753EAD2 3707921.960000 PA USD 1671977.650000 0.0154499 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.66322 N N N N N N FHLMC PASS THRU POOLS N/A 3132XW4M0 313027.200000 PA USD 290796.730000 0.0026871 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W4389 5600000.000000 PA 5528608.910000 0.0510872 Long ABS-CBDO CORP IE N 2 2033-04-15 Fixed 1.65 N N N N N N FANNIE MAE REMICS 2021-82 N/A 3136BKFS6 12663196.770000 PA USD 1534093.100000 0.0141758 Long ABS-MBS USGSE US N 2 2046-05-25 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-7 N/A 38378B4W6 48216.720000 PA USD 1094.990000 0.0000101 Long ABS-MBS USGSE US N 2 2053-05-16 Variable 1.81248 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A 78449XAA0 3001501.930000 PA USD 2786097.940000 0.025745 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N N/A N/A 000000000 -6000000.000000 NC USD -13937.400000 -0.0001288 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% MAR 30YR N/A 98.340000 USD 2025-03-06 XXXX -812.400000 N N N FNMA PASS THRU POOLS N/A 3140J7PH2 2796036.650000 PA USD 2713032.190000 0.0250698 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAG2 1881000.000000 PA USD 661455.320000 0.0061122 Long ABS-O CORP US N 3 2054-11-25 Fixed 0 N N N N N N FREDDIE MAC REMICS 4139 N/A 3137AWXH3 585912.880000 PA USD 15365.210000 0.000142 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 2.5 N N N N N N FANNIE MAE-2020-38 N/A 3136BACX0 8401766.380000 PA USD 567543.520000 0.0052444 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 0.31673 N N N N N N N/A N/A 000000000 158500000.000000 NC USD 4834.250000 0.0000447 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% JAN 30YR N/A 99.270000 USD 2025-01-07 XXXX -267587.630000 N N N N/A N/A 000000000 1.000000 NC USD 95994.750000 0.000887 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 3900000.000000 USD 95994.750000 N N N FANNIE MAE 2006-119 N/A 31396LM72 25693.000000 PA USD 26101.830000 0.0002412 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 6.78692 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-6 N/A 68403KAB1 2050310.700000 PA USD 1299533.870000 0.0120084 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.58322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-43 N/A 38378KDF3 1817406.500000 PA USD 421.820000 0.0000039 Long ABS-MBS USGSE US N 2 2048-08-16 Variable 0.02354 N N N N N N FREDDIE MAC REMICS 5004 N/A 3137FVDV1 24078196.390000 PA USD 2992842.760000 0.0276554 Long ABS-MBS USGSE US N 2 2050-07-25 Floating 1.51673 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-SB1 N/A 91682PAA6 2458631.180000 PA USD 2482696.510000 0.0229414 Long ABS-O CORP US N 2 2028-10-20 Fixed 7.9 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-46 N/A 38380V3X7 49366.730000 PA USD 49296.810000 0.0004555 Long ABS-MBS USGSE US N 2 2044-01-20 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD -17869.920000 -0.0001651 N/A DCR US N 3 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -64150.350000 USD 225856.710000 USD 46280.430000 N N N FREDDIE MAC REMICS 4959 N/A 3137FRNT4 9983227.120000 PA USD 1690680.480000 0.0156228 Long ABS-MBS USGSE US N 2 2050-03-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QKGG7 22514009.050000 PA USD 19225664.900000 0.177655 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2006-113 N/A 31396LZ37 281326.210000 PA USD 18419.190000 0.0001702 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 1.27673 N N N N N N FANNIE MAE REMICS 2023-43 N/A 3136BQJR1 96369181.400000 PA USD 6999332.190000 0.0646774 Long ABS-MBS USGSE US N 2 2037-12-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2016-62 N/A 3136ATVF8 712794.000000 PA USD 705031.740000 0.0065149 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 5.41896 N N N N N N NAVIENT STUDENT LOAN TRUST 2018-DA N/A 63940UAB0 2263731.770000 PA USD 2223129.250000 0.0205429 Long ABS-O CORP US N 2 2059-12-15 Fixed 4 N N N N N N FANNIE MAE REMICS 2020-96 N/A 3136BDWU8 10922397.490000 PA USD 1808720.630000 0.0167135 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2018-28 N/A 3136B1P32 777148.350000 PA USD 675049.710000 0.0062378 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WHNV0 100050.080000 PA USD 92905.180000 0.0008585 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4 N N N N N N BEAR STEARNS MORTGAGE FUNDING TRUST2006-AR2 N/A 07401AAX5 78051.970000 PA USD 69773.040000 0.0006447 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.91322 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAC8 1200000.000000 PA USD 1192106.520000 0.0110157 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.15 N N N N N N OCTANE RECEIVABLES TRUST 2024-3A N/A 67571GAB8 5000000.000000 PA USD 5010247.000000 0.0462973 Long ABS-O CORP US N 2 2030-05-20 Fixed 4.94 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAE4 5000000.000000 PA USD 4988032.950000 0.046092 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 6.28969 N N N N N N FNMA PASS THRU POOLS N/A 3140LKP31 2156255.640000 PA USD 2136861.440000 0.0197457 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 4.74 N N N N N N FREDDIE MAC REMICS 3393 N/A 31397PGA2 5727.480000 PA USD 5054.400000 0.0000467 Long ABS-MBS USGSE US N 2 2032-09-15 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31406MAT3 241181.650000 PA USD 250024.070000 0.0023104 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.434 N N N N N N FHF ISSUER TRUST 2024-2A N/A 30336NAC5 4817716.990000 PA USD 4878129.720000 0.0450764 Long ABS-O CORP US N 2 2030-06-15 Fixed 5.89 N N N N N N AEGIS ASSET BACKED SECURITIES TRUST 2005-2 N/A 00764MFE2 15500000.000000 PA USD 11608599.450000 0.107269 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.39822 N N N N N N HOME PARTNERS OF AMERICA 2021-3 TRUST N/A 43730XAA2 2415928.620000 PA USD 2163799.890000 0.0199946 Long ABS-MBS CORP US N 2 2041-01-17 Fixed 2.2 N N N N N N N/A N/A 000000000 -73258367.500000 PA USD -73400610.830000 -0.678259 Short RA US N 2 Reverse repurchase N 4.660000 2025-01-14 73538051.000000 USD 75145854.590000 USD AMBS N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6CM3 2200000.000000 PA 2282232.320000 0.021089 Long ABS-CBDO CORP IE N 2 2034-04-24 Floating 4.498 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNNH4 380955.450000 PA 387099.720000 0.003577 Long ABS-CBDO CORP IE N 2 2031-01-15 Fixed 1.05 N N N N N N GSAA HOME EQUITY TRUST 2006-10 N/A 362375AB3 14202613.440000 PA USD 3471597.350000 0.0320793 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 5.82518 N N N N N N FREDDIE MAC REMICS 4973 N/A 3137FT2J5 3989041.160000 PA USD 3083572.300000 0.0284938 Long ABS-MBS USGSE US N 2 2041-01-15 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3138WX4Z7 27475.800000 PA USD 25796.760000 0.0002384 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 21H020618 20000000.000000 PA USD 15998437.600000 0.147834 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 2 N N N N N N FREDDIE MAC REMICS 5203 N/A 3137H6KL8 17971807.440000 PA USD 215059.630000 0.0019873 Long ABS-MBS USGSE US N 2 2052-03-25 Floating 0 N N N N N N PAGAYA AI DEBT TRUST 2024-2 N/A 694961AA1 2485540.530000 PA USD 2510288.560000 0.0231964 Long ABS-O CORP US N 2 2031-08-15 Fixed 6.319 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL2 N/A 74142BAA7 26804212.900000 PA USD 26936094.990000 0.248903 Long ABS-MBS CORP US N 2 2054-02-25 Fixed 7.021 N N N N N N FANNIE MAE REMICS 2019-68 N/A 3136B6P49 3817049.940000 PA USD 410582.500000 0.003794 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.31673 N N N N N N GNMA PASS THRU POOLS N/A 36202EYE3 27113.740000 PA USD 26989.310000 0.0002494 Long ABS-MBS USGSE US N 2 2038-12-20 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XBWS5 5141851.870000 PA USD 4609323.380000 0.0425925 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3.5 N N N N N N RAAC SERIES 2007-SP3 N/A 74978FAH2 4152116.320000 PA USD 4014623.140000 0.0370972 Long ABS-MBS CORP US N 2 2047-09-25 Floating 5.95322 N N N N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAL8 25574624.330000 PA USD 5988681.910000 0.0553385 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.90322 N N N N N N N/A N/A 000000000 -912400000.000000 NC USD -162315.960000 -0.0014999 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 09/04/25-1Y LCH 2026-09-04 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-09-02 XXXX 886944.040000 N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAQ7 16503777.320000 PA USD 1410737.930000 0.0130359 Long ABS-O CORP US N 2 2036-11-25 Floating 2.09678 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GY8 2134216.560000 PA USD 933782.490000 0.0086286 Long ABS-MBS CORP US N 2 2036-05-25 Variable 5.746 N N N N N N CHASE AUTO OWNER TRUST 2024-3A N/A 16144LAC0 13600000.000000 PA USD 13754510.960000 0.127099 Long ABS-O CORP US N 2 2029-07-25 Fixed 5.22 N N N N N N LEHMAN XS TRUST 2007-1 N/A 525241AB1 1502248.280000 PA USD 1430282.020000 0.0132165 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.77322 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2A N/A 68269HAE5 2600000.000000 PA USD 2647104.460000 0.0244606 Long ABS-O CORP US N 2 2036-09-15 Floating 6.09757 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DBC7 9750000.000000 PA USD 9779271.160000 0.0903655 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.57901 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11 N/A 38383KZJ4 94444231.110000 PA USD 95147047.300000 0.879208 Long ABS-MBS USGSE US N 2 2074-07-20 Floating 5.5046 N N N N N N FANNIE MAE REMICS 2022-27 N/A 3136BM5J3 13220531.650000 PA USD 914384.850000 0.0084494 Long ABS-MBS USGSE US N 2 2052-06-25 Floating 1.53172 N N N N N N POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C N/A 73316MAE7 4460605.280000 PA USD 4179012.180000 0.0386162 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.94822 N N N N N N FNMA PASS THRU POOLS N/A 3140JVQC9 201796.270000 PA USD 187511.430000 0.0017327 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAG5 31003835.470000 PA USD 31074428.100000 0.287144 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.21148 N N N N N N GNMA PASS THRU POOLS N/A 36194GH98 65364.020000 PA USD 59298.060000 0.0005479 Long ABS-MBS USGSE US N 2 2046-05-20 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-20 N/A 3136ARXE3 145121.690000 PA USD 14506.830000 0.0001341 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3 N N N N N N HARLEY MARINE FINANCING LLC 2023-1 N/A 41284LAH7 6081149.880000 PA USD 6141961.380000 0.0567549 Long ABS-O CORP US N 3 2027-12-15 Fixed 9.7503 N N N N N N FANNIE MAE REMICS 2016-91 N/A 3136AURC7 2465463.340000 PA USD 242225.610000 0.0022383 Long ABS-MBS USGSE US N 2 2046-12-25 Floating 1.31673 N N N N N N FANNIE MAE REMICS 2004-61 N/A 31394ATH9 157086.690000 PA USD 9100.530000 0.0000841 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 3.01673 N N N N N N N/A N/A 000000000 1.000000 NC USD 38305.330000 0.000354 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 2100000.000000 USD 38305.330000 N N N FNMA PASS THRU POOLS N/A 3140LKSQ7 1747000.000000 PA USD 1722160.700000 0.0159137 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4.49 N N N N N N AYRESOME CDO I LTD N/A 05473WAE6 2266377.340000 PA USD 511281.130000 0.0047245 Long ABS-CBDO CORP KY N 2 2045-12-08 Floating 8.08 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-70 N/A 38378TNC0 489330.970000 PA USD 76780.970000 0.0007095 Long ABS-MBS USGSE US N 2 2043-05-20 Fixed 4.5 N N N N N N FREDDIE MAC STRIPS 295 N/A 31283DAS3 1069466.680000 PA USD 90458.610000 0.0008359 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 3 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11 N/A 021466AA5 1620348.830000 PA USD 1434861.830000 0.0132589 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.69322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-84 N/A 38379XGB0 2857142.000000 PA USD 465900.150000 0.0043052 Long ABS-MBS USGSE US N 2 2046-06-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36202EXM6 8734.780000 PA USD 8708.190000 0.0000805 Long ABS-MBS USGSE US N 2 2038-11-20 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H06 N/A 38382Y2C6 40786412.280000 PA USD 40929731.650000 0.378212 Long ABS-MBS USGSE US N 2 2071-03-20 Floating 5.4046 N N N N N N FEDERAL HOME LOAN MTGE 5123 N/A 3137H15V4 7145247.460000 PA USD 872838.420000 0.0080655 Long ABS-MBS USGSE US N 2 2051-07-25 Fixed 2.5 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAG9 650000.000000 PA USD 654786.990000 0.0060506 Long ABS-O CORP US N 2 2059-10-27 Fixed 6.43 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 N/A 93934FJQ6 178058.710000 PA USD 143622.970000 0.0013272 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.95322 N N N N N N FHLMC PASS THRU POOLS N/A 3133KG4N5 10994625.190000 PA USD 9948251.320000 0.091927 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5181 N/A 3137H4T91 45882418.370000 PA USD 5239900.650000 0.0484194 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-B N/A 78449HAB3 1692921.090000 PA USD 1738305.260000 0.0160628 Long ABS-O CORP US N 2 2056-10-16 Floating 6.39757 N N N N N N N/A N/A 000000000 1.000000 NC USD 2209263.990000 0.0204147 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-21 0.000000 USD -93087.250000 USD 126500000.000000 USD 2302351.240000 N N N N/A N/A 000000000 1.000000 NC 12564.560000 0.0001161 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 691000.000000 EUR 728680.160000 USD 2025-01-15 12564.560000 N N N FHLMC PASS THRU POOLS N/A 3132HBXZ3 782934.190000 PA USD 736261.130000 0.0068034 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4 N N N N N N SPECIALTY UNDERWRITING & RESID 2007-AB1 N/A 84752CAE7 267201.820000 PA USD 142795.810000 0.0013195 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.15322 N N N N N N FANNIE MAE REMICS 2019-1 N/A 3136B3A75 1517515.340000 PA USD 1197936.020000 0.0110695 Long ABS-MBS USGSE US N 2 2042-12-25 Floating 0 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC N/A ACI2QLH16 996192.150000 PA 1034871.980000 0.0095627 Long ABS-CBDO CORP IE N 2 2033-01-15 Floating 4.164 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-4A N/A 30166UAC4 4200000.000000 PA USD 4223129.400000 0.0390239 Long ABS-O CORP US N 2 2030-08-15 Fixed 5.28 N N N N N N LEHMAN MORTGAGE TRUST 2007-2 N/A 52521DAB8 3634177.160000 PA USD 2397229.000000 0.0221516 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 5.75 N N N N N N VERUS SECURITIZATION TRUST 2024-R1 N/A 924926AA6 9243808.450000 PA USD 9177121.770000 0.0848013 Long ABS-MBS CORP US N 2 2069-09-25 Fixed 5.218 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KH9 1193000.000000 PA 1493048.940000 0.0137965 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.85383 N N N N N N FREDDIE MAC REMICS 4598 N/A 3137BQVM6 2937707.720000 PA USD 623634.220000 0.0057627 Long ABS-MBS USGSE US N 2 2046-03-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 4130 N/A 3137AVY43 1931758.160000 PA USD 45385.310000 0.0004194 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LLY54 2259000.000000 PA USD 2307042.560000 0.0213183 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.61 N N N N N N UMBS PASS THRU POOLS N/A 01F020414 -36900000.000000 PA USD -32589301.040000 -0.301142 Short ABS-MBS USGSE US N 2 2040-01-15 Fixed 2 N N N N N N GNMA PASS THRU POOLS N/A 36202D7G0 1190.410000 PA USD 1185.060000 0.000011 Long ABS-MBS USGSE US N 2 2034-08-20 Fixed 5 N N N N N N FREDDIE MAC 4974 N/A 3137FTDK0 11539379.130000 PA USD 1810542.430000 0.0167303 Long ABS-MBS USGSE US N 2 2050-02-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140J9JU6 13147142.500000 PA USD 12243010.490000 0.113132 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GRAU8 778840.900000 PA USD 722550.990000 0.0066767 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 78110.860000 0.0007218 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 3200000.000000 USD 78110.860000 N N N FANNIE MAE REMICS 2023-51 N/A 3136BQPY9 38719907.280000 PA USD 7480314.380000 0.069122 Long ABS-MBS USGSE US N 2 2053-04-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FVYZ3 639878.740000 PA USD 614323.760000 0.0056767 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2020-89 N/A 3136BCL40 12022726.180000 PA USD 2076864.630000 0.0191913 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3 N N N N N N JP MORGAN MORTGAGE TRUST 2022-INV1 N/A 465973AC9 33747514.080000 PA USD 28148612.510000 0.260108 Long ABS-MBS CORP US N 2 2052-03-25 Variable 3 N N N N N N FANNIE MAE REMICS 2013-126 N/A 3136AHQK9 379187.830000 PA USD 22000.630000 0.0002033 Long ABS-MBS USGSE US N 2 2041-09-25 Floating 1.46673 N N N N N N FANNIE MAE REMICS 2013-63 N/A 3136AENU7 5595988.000000 PA USD 5353556.930000 0.0494696 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 1.4 N N N N N N FNMA PASS THRU POOLS N/A 3138WTGX8 514255.480000 PA USD 482744.120000 0.0044608 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-45 N/A 3136ASXT8 3857544.310000 PA USD 376416.090000 0.0034783 Long ABS-MBS USGSE US N 2 2046-07-25 Floating 1.31673 N N N N N N FNMA PASS THRU POOLS N/A 3140XLDW5 8168532.720000 PA USD 8013828.060000 0.0740519 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-SD1 N/A 126670VP0 1452466.380000 PA USD 1433652.580000 0.0132477 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.39822 N N N N N N GNMA PASS THRU POOLS N/A 36202E7A1 2373.960000 PA USD 2321.730000 0.0000215 Long ABS-MBS USGSE US N 2 2039-07-20 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 1277271.690000 0.0118026 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 73880858.000000 EUR 77843457.820000 USD 2025-01-15 1277271.690000 N N N FREDDIE MAC REMICS-3997 N/A 3137AMCA3 973817.000000 PA USD 828591.770000 0.0076566 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 4 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4D2 1026097.790000 PA USD 1027470.910000 0.0094944 Long ABS-O CORP US N 2 2032-09-15 Fixed 5.215 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A N/A 37989AAJ3 8200000.000000 PA USD 8232847.560000 0.0760757 Long ABS-O CORP US N 2 2031-02-18 Fixed 5.21 N N N N N N FNMA PASS THRU POOLS N/A 3140FTWA5 522652.000000 PA USD 484880.430000 0.0044805 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2016-32 N/A 3136ASUL8 3638104.890000 PA USD 617671.260000 0.0057076 Long ABS-MBS USGSE US N 2 2046-06-25 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-39 N/A 38379LDY9 170.200000 PA USD 110.790000 0.000001 Long ABS-MBS USGSE US N 2 2045-03-20 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GNH22 959451.720000 PA USD 923528.580000 0.0085339 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 30448.310000 0.0002814 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1994000.000000 EUR 2096923.700000 USD 2025-01-15 30448.310000 N N N MASTR ASSET BACKED SEC TR 2006-HE2 N/A 57644UAE5 9215404.920000 PA USD 3212485.550000 0.029685 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.75322 N N N N N N FNMA PASS THRU POOLS N/A 3140XBKR0 7097847.650000 PA USD 6373409.880000 0.0588936 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.5 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4H3 4850644.110000 PA USD 4864976.790000 0.0449549 Long ABS-O CORP US N 2 2032-09-15 Fixed 11.395 N N N N N N OBX 2023-NQM8 TRUST N/A 67118CAA9 6593147.730000 PA USD 6690169.850000 0.0618206 Long ABS-MBS CORP US N 2 2063-09-25 Fixed 7.045 N N N N N N FREDDIE MAC REMICS 5093 N/A 3137FYKD7 14274454.120000 PA USD 2448558.500000 0.0226259 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3 N N N N N N CHASEFLEX TRUST 2007-2 N/A 16165WAC0 8700000.000000 PA USD 7696045.230000 0.0711154 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.05322 N N N N N N GSAA HOME EQUITY TRUST 2005-6 N/A 36242D3X9 357792.340000 PA USD 355960.840000 0.0032893 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.09822 N N N N N N FNMA PASS THRU POOLS N/A 3140LLNV9 23455249.000000 PA USD 23643295.830000 0.218476 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 4.88 N N N N N N WELLS FARGO MTGE BACKED SEC 2007-7 N/A 94985JAH3 21440.190000 PA USD 18795.110000 0.0001737 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.95322 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ49 N/A 3137HBPF5 14047636.270000 PA USD 14123957.080000 0.130513 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 5.007 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC N/A 74143EAA0 7880694.540000 PA USD 7876056.750000 0.0727788 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 4.8677 N N N N N N VERUS SECURITIZATION TRUST 2023-INV3 N/A 92540CAA5 3321659.260000 PA USD 3371547.590000 0.0311548 Long ABS-MBS CORP US N 2 2068-11-25 Variable 6.876 N N N N N N CSMC 2021-NQM5 N/A 22946DAA0 1024012.050000 PA USD 843892.020000 0.007798 Long ABS-MBS CORP US N 2 2066-05-25 Variable 0.938 N N N N N N OBX 2024-NQM8 TRUST N/A 67119CAA8 6176389.100000 PA USD 6233928.960000 0.0576047 Long ABS-MBS CORP US N 2 2064-05-25 Fixed 6.233 N N N N N N UMBS PASS THRU POOLS N/A 01F040636 230000000.000000 PA USD 210307020.500000 1.94335 Long ABS-MBS USGSE US N 2 2055-03-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 5383 N/A 3137HBGR9 49092101.200000 PA USD 2009594.980000 0.0185697 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 0.998412 N N N N N N FREDDIE MAC REMICS 5426 N/A 3137HCY22 4730742.680000 PA USD 4727816.720000 0.0436875 Long ABS-MBS USGSE US N 2 2050-12-15 Floating 5.75448 N N N N N N GNMA PASS THRU POOLS N/A 36179TZ65 384506.860000 PA USD 368745.890000 0.0034074 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.5 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO3 N/A 761118KU1 87707.000000 PA USD 69479.650000 0.000642 Long ABS-MBS CORP US N 2 2045-10-25 Floating 5.25322 N N N N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2015-SC02 N/A 3137G1AK3 903056.050000 PA USD 789756.920000 0.0072978 Long ABS-MBS MUN US N 2 2045-09-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 4902 N/A 3137FN3M0 2067522.870000 PA USD 226566.600000 0.0020936 Long ABS-MBS USGSE US N 2 2049-08-25 Floating 1.36673 N N N N N N CANYON CLO 2020-1 LTD N/A 13876LAW7 800000.000000 PA USD 800000.000000 0.0073924 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.51433 N N N N N N N/A N/A 000000000 1.000000 NC USD 79043.490000 0.0007304 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 3200000.000000 USD 79043.490000 N N N FANNIE MAE REMICS 2016-63 N/A 3136ATXF6 223232.350000 PA USD 21810.180000 0.0002015 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 1.31673 N N N N N N N/A N/A 000000000 1.000000 NC USD 5379873.950000 0.0497128 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-13 666275.000000 USD 0.000000 USD 91900000.000000 USD 4713598.950000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-5 N/A 12668KAA1 596722.130000 PA USD 554952.180000 0.005128 Long ABS-MBS CORP US N 2 2047-09-25 Floating 4.85322 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2009-6 2009-6 N/A 17315JCF7 1704269.440000 PA USD 630108.290000 0.0058225 Long ABS-MBS CORP US N 2 2037-08-25 Variable 6 N N N N N N ANGEL OAK MORTGAGE TRUST 2024-8 N/A 03465QAA2 3419234.900000 PA USD 3406684.940000 0.0314795 Long ABS-MBS CORP US N 2 2069-05-27 Fixed 5.338 N N N N N N FREDDIE MAC REMICS 4077 N/A 3137ASCE2 4924459.100000 PA USD 443834.110000 0.0041013 Long ABS-MBS USGSE US N 2 2042-07-15 Floating 1.28795 N N N N N N FANNIE MAE REMICS 2013-50 N/A 3136AD5T2 3524777.210000 PA USD 2986359.740000 0.0275955 Long ABS-MBS USGSE US N 2 2033-01-25 Floating 0 N N N N N N FREDDIE MAC REMICS 5155 N/A 3137H35P3 7132952.960000 PA USD 512293.670000 0.0047339 Long ABS-MBS USGSE US N 2 2047-04-15 Floating 1.73432 N N N N N N FANNIE MAE REMICS 2014-68 N/A 3136ALSC6 153740.590000 PA USD 30350.790000 0.0002805 Long ABS-MBS USGSE US N 2 2044-11-25 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 9660760.940000 0.0892704 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-04-23 3998120.000000 USD 0.000000 USD 183400000.000000 USD 5662640.940000 N N N FANNIE MAE REMICS 2014-84 N/A 3136AL2X8 3156469.700000 PA USD 20612.380000 0.0001905 Long ABS-MBS USGSE US N 2 2043-02-25 Floating 0.2 N N N N N N FANNIE MAE REMICS 2018-37 N/A 3136B17H1 789179.320000 PA USD 147983.830000 0.0013674 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 4 N N N N N N HSBC ASSET LOAN OBLIGATION 2006-2 N/A 40431HAG2 743924.490000 PA USD 146925.910000 0.0013577 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.82322 N N N N N N FNMA PASS THRU POOLS N/A 3140QGEG8 45775505.970000 PA USD 39634036.130000 0.366239 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 3 N N N N N N FANNIE MAE INTEREST STRIP 331 N/A 3136FAXY1 70151.860000 PA USD 8644.780000 0.0000799 Long ABS-MBS USGSE US N 2 2033-02-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 144072.530000 0.0013313 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 5600000.000000 USD 144072.530000 N N N FHLMC PASS THRU POOLS N/A 3132XXXT1 480132.020000 PA USD 446035.400000 0.0041216 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418DYC0 42907575.520000 PA USD 35302890.420000 0.326217 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.5 N N N N N N OBP DEPOSITOR LLC TRUST 2019-OBP N/A 68236JAA9 40000000.000000 PA USD 34978240.000000 0.323217 Long ABS-MBS CORP US N 2 2054-09-15 Fixed 2.51641 N N N N N N REGATTA XVI FUNDING LTD 2019-2A N/A 75888TAL9 11100000.000000 PA USD 11134597.370000 0.102889 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 5.8559 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST N/A 958XGLII9 30000000.000000 PA USD 27750000.000000 0.256424 Long ABS-MBS CORP US Y 3 2052-08-01 Floating 4.35 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAE7 1017000.000000 PA USD 1015414.400000 0.009383 Long ABS-O CORP US N 3 2054-11-25 Fixed 6.6 N N N N N N FANNIE MAE REMICS 2012-108 N/A 3136A8Q78 30121.940000 PA USD 27923.910000 0.000258 Long ABS-MBS USGSE US N 2 2042-10-25 Fixed 3.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-12 N/A 126673NX6 1268380.610000 PA USD 1258123.600000 0.0116257 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.95322 N N N N N N FNMA PASS THRU POOLS N/A 3140AGJY1 808528.600000 PA USD 843778.640000 0.0077969 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 7 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ50 N/A 3137HDV31 69497787.000000 PA USD 65975354.210000 0.609646 Long ABS-MBS USGSE US N 2 2034-10-25 Fixed 4.228 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2005-2 N/A 64352VKW0 3405585.150000 PA USD 3491323.140000 0.0322616 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.39822 N N N N N N FREDDIE MAC REMICS 5004 N/A 3137FVBP6 6694459.690000 PA USD 759517.250000 0.0070183 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2 N N N N N N FREDDIE MAC REMICS 4604 N/A 3137BRMT9 577036.660000 PA USD 66631.230000 0.0006157 Long ABS-MBS USGSE US N 2 2046-01-15 Fixed 3 N N N N N N GSAA HOME EQUITY TRUST 2007-9 N/A 3622EEAA0 78279.330000 PA USD 68724.520000 0.000635 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 6 N N N N N N MORGAN STANLEY CAPITAL I-2005-HQ7 N/A 617451BW8 46392.890000 PA USD 45152.780000 0.0004172 Long ABS-MBS CORP US N 2 2042-11-14 Variable 5.4438 N N N N N N FREDDIE MAC STRIPS 367 N/A 31325X3A6 9167952.620000 PA USD 1378365.650000 0.0127368 Long ABS-MBS USGSE US N 2 2050-06-15 Fixed 3.5 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QH4 N/A 74922TAA4 2920364.840000 PA USD 2664254.100000 0.0246191 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.83322 N N N N N N N/A N/A 000000000 -10000000.000000 NC USD -146793.000000 -0.0013564 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JAN 30YR N/A 97.920000 USD 2025-01-07 XXXX -120230.500000 N N N PARK PLACE SEC INC 2004-WCW1 N/A 70069FAE7 165585.040000 PA USD 160825.300000 0.0014861 Long ABS-MBS CORP US N 2 2034-09-25 Floating 6.32822 N N N N N N HOMESTAR MORTGAGE ACCEPTANCE CORP 2004-1 N/A 437690AB6 1234727.270000 PA USD 1259120.050000 0.0116349 Long ABS-MBS CORP US N 2 2034-03-25 Floating 5.24822 N N N N N N GREYWOLF CLO III LTD 2020-3RA N/A 39809CBA1 7700000.000000 PA USD 7700190.500000 0.0711537 Long ABS-CBDO CORP KY N 2 2033-04-22 Floating 6.74324 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS2 N/A 59981TAC9 4149037.810000 PA USD 3995640.410000 0.0369218 Long ABS-MBS CORP US N 2 2059-08-25 Fixed 2.75 N N N N N N N/A N/A 000000000 1.000000 NC USD -1389781.620000 -0.0128423 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-12-18 0.000000 USD -1559311.000000 USD 707400000.000000 USD 169529.380000 N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ45 N/A 3137HA4L7 27615000.000000 PA USD 27283175.400000 0.252111 Long ABS-MBS USGSE US N 2 2031-01-25 Fixed 4.66 N N N N N N FNMA PASS THRU POOLS N/A 3140XCS82 16342174.720000 PA USD 13467845.210000 0.12445 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.5 N N N N N N N/A N/A 000000000 189500000.000000 NC USD 739.050000 0.0000068 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.30000 03/17/25-1Y LCH 2026-03-17 0.000000 USD 0.000000 USD N/A USD N/A 5.300000 USD 2025-03-13 XXXX -340360.950000 N N N FREDDIE MAC REMICS 4813 N/A 3137FGSN6 2723806.260000 PA USD 296967.340000 0.0027441 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 1.43795 N N N N N N FANNIE MAE REMICS 2010-62 N/A 31398RVD4 66000.000000 PA USD 68725.880000 0.0006351 Long ABS-MBS USGSE US N 2 2039-11-25 Fixed 7 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4U3 15103085.680000 PA USD 2737583.800000 0.0252967 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3.5 N N N N N N TESLA SUSTAINABLE ENERGY TRUST 2024-1A N/A 88164AAC8 2100000.000000 PA USD 2080443.750000 0.0192244 Long ABS-O CORP US N 2 2050-06-20 Fixed 5.29 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-35 N/A 38381RG78 7816573.170000 PA USD 970342.360000 0.0089665 Long ABS-MBS USGSE US N 2 2049-03-20 Floating 1.56526 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H08 N/A 38383KYE6 6930480.430000 PA USD 6989970.290000 0.0645909 Long ABS-MBS USGSE US N 2 2074-05-20 Floating 5.4546 N N N N N N FNMA PASS THRU POOLS N/A 3140H8ZE8 356913.980000 PA USD 342631.870000 0.0031661 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N BAYVIEW FINANCIAL ASSET TR 2007-SR1A N/A 07325QAA3 3260054.690000 PA USD 3258014.550000 0.0301057 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.90322 N N N N N N FANNIE MAE REMICS 2016-48 N/A 3136ATLT9 867565.410000 PA USD 104280.580000 0.0009636 Long ABS-MBS USGSE US N 2 2046-08-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5070 N/A 3137F9XJ5 14940495.410000 PA USD 2854876.180000 0.0263805 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617B5D35 504622.290000 PA USD 457785.670000 0.0042302 Long ABS-MBS USGSE US N 2 2047-09-20 Fixed 3.5 N N N N N N AMERICAN HOME MTG INV TRUST 2005-1 N/A 02660TDM2 5283277.210000 PA USD 4810583.980000 0.0444523 Long ABS-MBS CORP US N 2 2045-06-25 Floating 5.55719 N N N N N N WSTN TRUST 2023-MAUI N/A 92943AAA2 15600000.000000 PA USD 15823833.480000 0.14622 Long ABS-MBS CORP US N 2 2037-07-05 Variable 6.29674 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H07 N/A 38380LCX9 174723.150000 PA USD 174980.120000 0.0016169 Long ABS-MBS USGSE US N 2 2068-05-20 Floating 5.06648 N N N N N N FREDDIE MAC REMICS 3298 N/A 31397GG87 65382.260000 PA USD 57172.660000 0.0005283 Long ABS-MBS USGSE US N 2 2036-12-15 None 0 N N N N N N FREDDIE MAC 4820 N/A 3137FHJ95 1842933.720000 PA USD 177807.170000 0.001643 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 1.43795 N N N N N N CITICORP RESIDENTIAL MORTGAGE SEC 2007-2 N/A 17312HAH2 8928648.610000 PA USD 6914175.840000 0.0638905 Long ABS-MBS CORP US N 2 2037-06-25 Variable 6.94 N N N N N N FNMA PASS THRU POOLS N/A 31418EHK9 2560279.890000 PA USD 2413942.690000 0.0223061 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HCAX4 615766.640000 PA USD 571268.170000 0.0052788 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0R4 186.000000 PA 85596.420000 0.000791 Long ABS-MBS CORP GB N 2 2049-12-21 Fixed 0 N N N N N N GNMA PASS THRU POOLS N/A 36202FUJ3 52339.730000 PA USD 53494.270000 0.0004943 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 6 N N N N N N N/A N/A 000000000 94200000.000000 NC USD 9.420000 0.0000001 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.75000 01/07/25-7Y LCH 2032-01-07 0.000000 USD 0.000000 USD N/A USD N/A 2.750000 USD 2025-01-03 XXXX -326067.500000 N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR39 N/A 45660KAA9 1812717.280000 PA USD 1645104.010000 0.0152016 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.81322 N N N N N N FREDDIE MAC REMICS 5115 N/A 3137H0ZX9 8723529.770000 PA USD 1681323.400000 0.0155363 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2014-43 N/A 3136AKKG7 848129.050000 PA USD 840711.060000 0.0077686 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 5.08327 N N N N N N COUNTRYWIDE HOME LOANS 2006-20 N/A 12544AAC9 5641536.670000 PA USD 2581277.770000 0.0238523 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3138WHNT5 34042.660000 PA USD 31622.200000 0.0002922 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4 N N N N N N BX TRUST 2021-LGCY N/A 12434DAA0 5000000.000000 PA USD 4986159.500000 0.0460747 Long ABS-MBS CORP US N 2 2036-10-15 Floating 5.01748 N N N N N N VENTURE 44 CLO LTD N/A 92332KAQ4 5575000.000000 PA USD 5575000.000000 0.0515159 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.49138 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2024-3 N/A 38012QAB4 10580000.000000 PA USD 10571816.370000 0.097689 Long ABS-O CORP US N 2 2027-01-20 Fixed 4.29 N N N N N N FNMA PASS THRU POOLS N/A 3138WUHY2 19814.750000 PA USD 18660.150000 0.0001724 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F050411 67300000.000000 PA USD 66968073.710000 0.618819 Long ABS-MBS USGSE US N 2 2040-01-15 Fixed 5 N N N N N N GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2024-1A N/A 36252MDE7 5000000.000000 PA 3546763.640000 0.0327739 Long ABS-O CORP CA N 2 2026-12-21 Fixed 4.883 N N N N N N N/A N/A 000000000 248700000.000000 NC USD 1722894.120000 0.0159204 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/30/25-10Y LCH 2035-09-30 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-26 XXXX 827574.120000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23 N/A 38383KEW8 7430439.680000 PA USD 7572647.890000 0.0699752 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 5.7246 N N N N N N FHLMC PASS THRU POOLS N/A 31334YHW0 212389.080000 PA USD 190684.180000 0.001762 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.5 N N N N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AG9 533006.240000 PA USD 470181.750000 0.0043447 Long ABS-MBS CORP US N 2 2036-02-20 Floating 5.02601 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-141 N/A 38379Q4L6 981487.500000 PA USD 734216.150000 0.0067845 Long ABS-MBS USGSE US N 2 2045-06-20 Floating 0 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1512 N/A 3137FMTU6 132721734.630000 PA USD 7251384.690000 0.0670065 Long ABS-MBS USGSE US N 2 2034-04-25 Variable 0.90462 N N N N N N JP MORGAN REREMIC 2009-10 N/A 46634AAM6 1992187.460000 PA USD 1811943.100000 0.0167433 Long ABS-MBS CORP US N 2 2036-08-26 Variable 6 N N N N N N RCKT MORTGAGE TRUST 2024-CES1 N/A 749424AA5 3141477.140000 PA USD 3156513.190000 0.0291678 Long ABS-MBS CORP US N 2 2044-02-25 Fixed 6.025 N N N N N N ACRA TRUST 2024-NQM1 N/A 00112EAA2 4373851.390000 PA USD 4368671.000000 0.0403688 Long ABS-MBS CORP US N 2 2064-10-25 Fixed 5.608 N N N N N N BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV6 N/A 07335UAU8 1150787.640000 PA USD 1071171.890000 0.0098982 Long ABS-MBS CORP US N 2 2051-10-25 Floating 5 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAF6 11376186.460000 PA USD 9998901.140000 0.092395 Long ABS-MBS CORP US N 2 2038-01-19 Floating 4.86083 N N N N N N OBX 2023-NQM10 TRUST N/A 67449CAA9 8250195.030000 PA USD 8336907.880000 0.0770373 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 6.465 N N N N N N UMBS PASS THRU POOLS N/A 01F070625 20000000.000000 PA USD 20723392.000000 0.191495 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 7 N N N N N N PENFED AUTO RECEIVABLES OWNER TRUST 2024-A N/A 70687FAB5 13000000.000000 PA USD 13039032.500000 0.120487 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.04 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BC5 472260.230000 PA USD 471739.000000 0.0043591 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.35322 N N N N N N FANNIE MAE REMICS 2015-8 N/A 3136AMUT4 15776247.000000 PA USD 1636033.100000 0.0151178 Long ABS-MBS USGSE US N 2 2045-03-25 Floating 1.41673 N N N N N N GNMA PASS THRU POOLS N/A 36179NDT2 651954.790000 PA USD 632973.870000 0.005849 Long ABS-MBS USGSE US N 2 2043-05-20 Fixed 4.5 N N N N N N FANNIE MAE 2007-4 N/A 31396PMC2 156056.120000 PA USD 154055.340000 0.0014236 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 5.12827 N N N N N N TESLA SUSTAINABLE ENERGY TRUST 2024-1A N/A 88164AAB0 3100000.000000 PA USD 3099375.970000 0.0286398 Long ABS-O CORP US N 2 2050-06-21 Fixed 5.08 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2007-2 N/A 059475AS2 262697.320000 PA USD 189326.060000 0.0017495 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.81322 N N N N N N N/A N/A 000000000 1.000000 NC 587273.490000 0.0054267 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 41194929.370000 CAD 29259009.170000 USD 2025-01-15 587273.490000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H16 N/A 38376RWJ1 181035.250000 PA USD 181999.590000 0.0016818 Long ABS-MBS USGSE US N 2 2066-07-20 Floating 6.2971 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2024-PT2 N/A 69544PAB8 2480000.000000 PA USD 2483554.460000 0.0229493 Long ABS-O CORP US N 3 2032-04-15 Fixed 5.617 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAB3 6327000.000000 PA USD 6318338.650000 0.0583847 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.35 N N N N N N PIKES PEAK CLO 2019-4A N/A 72132WAN9 8300000.000000 PA USD 8322550.930000 0.0769047 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.8659 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAD9 777000.000000 PA USD 775788.580000 0.0071687 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.75 N N N N N N FHLMC PASS THRU POOLS N/A 3132XXQF9 2075417.260000 PA USD 1937182.390000 0.0179006 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2021-1 N/A 3136BDT24 38777096.350000 PA USD 5985446.460000 0.0553086 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3 N N N N N N FREDDIE MAC STRIPS 399 N/A 3142G4V81 37025922.590000 PA USD 6032949.770000 0.0557476 Long ABS-MBS USGSE US N 2 2052-08-25 Fixed 3 N N N N N N BX TRUST 2018-GW 2018-GW N/A 12433UAA3 8778000.000000 PA USD 8778475.770000 0.0811176 Long ABS-MBS CORP US N 2 2035-05-15 Floating 5.49501 N N N N N N FANNIE MAE REMICS 2015-19 N/A 3136ANJM0 1041933.130000 PA USD 52803.500000 0.0004879 Long ABS-MBS USGSE US N 2 2055-04-25 Floating 1.60612 N N N N N N GNMA PASS THRU POOLS N/A 36195DLV0 623223.360000 PA USD 565382.180000 0.0052244 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 3.5 N N N N N N GSR MORTGAGE LOAN TRUST 2006-7F N/A 36298NAV6 672606.710000 PA USD 188674.460000 0.0017434 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3 N/A 80287LAC3 21300000.000000 PA USD 21573947.820000 0.199354 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.63 N N N N N N FREDDIE MAC REMICS 4143 N/A 3137AX7K3 2715748.540000 PA USD 2616740.220000 0.02418 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 1.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 52262.440000 0.0004829 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 2600000.000000 USD 52262.440000 N N N RESIDENTIAL ASSET SECURITIES C 2005-KS5 N/A 76110WX27 22990.820000 PA USD 22981.690000 0.0002124 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.15322 N N N N N N FREDDIEMAC STRIP-203-215 N/A 3128CVPV0 111606.740000 PA USD 102880.250000 0.0009507 Long ABS-MBS USGSE US N 2 2031-06-15 None 0 N N N N N N FREDDIE MAC REMICS 5059 N/A 3137F86B4 18357653.850000 PA USD 3089508.700000 0.0285486 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.5 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q010 N/A 3137FMUL4 1176783.580000 PA USD 1143654.890000 0.010568 Long ABS-MBS USGSE US N 2 2046-10-25 Variable 2.97923 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-11 N/A 69544AAB1 1600000.000000 PA USD 1602663.200000 0.0148094 Long ABS-O CORP US N 2 2032-07-15 Fixed 5.637 N N N N N N FREDDIE MAC REMICS 4068 N/A 3137ARMT0 5207380.100000 PA USD 469102.670000 0.0043347 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 1.28795 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAA5 3257347.130000 PA USD 3331905.850000 0.0307885 Long ABS-MBS CORP US N 2 2059-10-25 Floating 5.45322 N N N N N N FANNIE MAE REMICS 2024-60 N/A 3136BSQ40 93591269.200000 PA USD 4519419.440000 0.0417618 Long ABS-MBS USGSE US N 2 2054-09-25 Floating 0.68121 N N N N N N FANNIE MAE REMICS 2020-84 N/A 3136BC5Y2 41085935.560000 PA USD 5916728.060000 0.0546736 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.5 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAC7 5600000.000000 PA USD 5590959.920000 0.0516633 Long ABS-O CORP US N 2 2028-03-15 Fixed 4.45 N N N N N N FNMA PASS THRU POOLS N/A 3140LH3L2 23527000.000000 PA USD 22896053.150000 0.211571 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 4.5 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 1869495.560000 PA USD 837405.760000 0.0077381 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.57322 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-4 N/A 05949ADG2 13049.650000 PA USD 12519.600000 0.0001157 Long ABS-MBS CORP US N 2 2034-05-25 Floating 6.41675 N N N N N N FANNIEMAE STRIP-428 N/A 31423YJU4 20316922.650000 PA USD 3777586.790000 0.0349068 Long ABS-MBS USGSE US N 2 2048-11-25 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36195EF37 953495.640000 PA USD 865001.700000 0.0079931 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N N/A N/A 000000000 138000000.000000 NC USD 1089441.000000 0.010067 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% MAR 30YR N/A 95.800000 USD 2025-03-06 XXXX 620456.620000 N N N ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM N/A 04965JAE3 8800000.000000 PA USD 8500250.880000 0.0785467 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.345 N N N N N N FREDDIE MAC REMICS 4704 N/A 3137F1HV3 8657824.230000 PA USD 883126.640000 0.0081605 Long ABS-MBS USGSE US N 2 2047-07-15 Floating 1.43795 N N N N N N FNMA PASS THRU POOLS N/A 3140FT2T7 133893.380000 PA USD 123964.150000 0.0011455 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36241LUT1 1638835.020000 PA USD 1575213.510000 0.0145558 Long ABS-MBS USGSE US N 2 2041-03-20 Fixed 4.5 N N N N N N GOVERNMENT NATL MTGE ASSOC 2011-H01 N/A 38375BJN3 156568.810000 PA USD 156344.400000 0.0014447 Long ABS-MBS USGSE US N 2 2060-11-20 Floating 5.21648 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-9 N/A 41161XAC0 1789730.750000 PA USD 1612513.760000 0.0149005 Long ABS-MBS CORP US N 2 2036-11-19 Floating 4.90083 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 22288345.440000 PA USD 21282401.090000 0.19666 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N FANNIE MAE REMICS 2012-20 N/A 3136A4FS3 778033.850000 PA USD 104957.230000 0.0009699 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 1.74673 N N N N N N FREDDIE MAC REMICS 5174 N/A 3137H4MC1 16058412.770000 PA USD 2287702.360000 0.0211395 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 2.5 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAA9 5189306.400000 PA USD 2744911.640000 0.0253644 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.59322 N N N N N N FNMA PASS THRU POOLS N/A 3138ADA62 241216.320000 PA USD 232232.650000 0.0021459 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.5 N N N N N N CSMC TRUST 2021-RPL4 N/A 12662GAC2 20782945.910000 PA USD 20732609.620000 0.19158 Long ABS-MBS CORP US N 2 2060-12-27 Variable 4.10341 N N N N N N FANNIE MAE REMICS 2019-32 N/A 3136B4XA1 2027372.330000 PA USD 184109.330000 0.0017013 Long ABS-MBS USGSE US N 2 2049-06-25 Floating 1.36673 N N N N N N C-BASS LTD 12A N/A 12498CAA5 15662100.550000 PA USD 1176599.640000 0.0108724 Long ABS-CBDO CORP KY N 2 2034-12-15 Floating 8.09 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A 38382Y5F6 4333277.360000 PA USD 4416197.220000 0.0408079 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 5.7546 N N N N N N FNMA PASS THRU POOLS N/A 3140N9S64 26382830.850000 PA USD 26539882.570000 0.245242 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N OBX 2024-HYB2 TRUST N/A 67118RAA6 16067400.610000 PA USD 15693571.650000 0.145017 Long ABS-MBS CORP US N 2 2053-04-25 Variable 3.64195 N N N N N N NEUBERGER BERMAN LOAN ADVISERS CLO 31 LTD N/A 64132JAN5 7943574.920000 PA USD 7949366.580000 0.0734562 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.91901 N N N N N N FREDDIE MAC 2611 N/A 31393QYH9 2786.450000 PA USD 2675.020000 0.0000247 Long ABS-MBS USGSE US N 2 2033-05-15 Floating 3.5759 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-1 N/A 288542AA1 3228349.690000 PA USD 3132549.380000 0.0289464 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.55322 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAE8 10113008.560000 PA USD 2858328.600000 0.0264124 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.91322 N N N N N N STRUCTURED ASSET INVST LN TR 2005-7 N/A 86358EWD4 2590029.120000 PA USD 2504331.270000 0.0231413 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.21822 N N N N N N FREDDIE MAC REMICS 5060 N/A 3137F87A5 6332318.500000 PA USD 1080258.080000 0.0099821 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 3 N N N N N N ELLINGTON LOAN ACQUISITION TRUST 2007-2 N/A 288547AA0 1794980.050000 PA USD 1738874.540000 0.0160681 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.50322 N N N N N N FREDDIE MAC REMICS 5392 N/A 3137HBX25 100311769.630000 PA USD 12141164.820000 0.112191 Long ABS-MBS USGSE US N 2 2051-04-25 Fixed 2 N N N N N N FNMA PASS THRU POOLS N/A 3140XPXP9 2647082.770000 PA USD 2487620.200000 0.0229869 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4 N N N N N N RBSGC MTGE PASS THRU CERT 2007-B N/A 74927XAA0 20231958.480000 PA USD 3658937.550000 0.0338105 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.75322 N N N N N N REPERFORMING LOAN REMIC TRUST 2006-R1 N/A 12669UCN8 108875.180000 PA USD 102173.110000 0.0009441 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.79322 N N N N N N FNMA PASS THRU POOLS N/A 3140QCY34 9121424.530000 PA USD 7772144.100000 0.0718186 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05 N/A 38382YY64 5859007.290000 PA USD 5859277.980000 0.0541427 Long ABS-MBS USGSE US N 2 2073-02-20 Floating 5.4846 N N N N N N FNMA PASS THRU POOLS N/A 3140J83X9 1785372.350000 PA USD 1706134.740000 0.0157656 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 4122 N/A 3137AV2A4 3059.830000 PA USD 2022.120000 0.0000187 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2016-88 N/A 3136AUTX9 997049.200000 PA USD 984651.990000 0.0090987 Long ABS-MBS USGSE US N 2 2046-12-25 Floating 5.40896 N N N N N N FANNIE MAE REMICS 2013-1 N/A 3136ABYR8 388747.000000 PA USD 9338.400000 0.0000863 Long ABS-MBS USGSE US N 2 2028-02-25 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31417CES0 1270015.320000 PA USD 1223913.520000 0.0113096 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.5 N N N N N N FREDDIE MAC 3117 N/A 31396HVU0 32986.560000 PA USD 28071.020000 0.0002594 Long ABS-MBS USGSE US N 2 2036-02-15 None 0 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2006-2 N/A 00437NAD4 1860999.370000 PA USD 1844492.310000 0.0170441 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.71322 N N N N N N FREDDIE MAC 4615 N/A 3137BRYG4 1952447.140000 PA USD 1924331.320000 0.0177818 Long ABS-MBS USGSE US N 2 2038-10-15 Floating 5.31896 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB N/A 02150ECA9 4079176.510000 PA USD 1819670.470000 0.0168147 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD2 N/A 07388EAC0 2720453.330000 PA USD 2785157.680000 0.0257363 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.65322 N N N N N N FREDDIE MAC REMICS 4111 N/A 3137AUC56 511369.050000 PA USD 15546.440000 0.0001437 Long ABS-MBS USGSE US N 2 2027-09-15 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QDFB5 6080121.260000 PA USD 5491302.310000 0.0507425 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.5 N N N N N N SCCU AUTO RECEIVABLES TRUST 2024-1A N/A 78436RAG5 9100000.000000 PA USD 9126895.960000 0.0843372 Long ABS-O CORP US N 2 2030-05-15 Fixed 5.16 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-7 N/A 16159TAP6 25428677.390000 PA USD 25462077.960000 0.235283 Long ABS-MBS CORP US N 2 2055-06-25 Floating 5.86879 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAA5 6327000.000000 PA USD 6337854.280000 0.058565 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.15 N N N N N N FANNIE MAE REMICS 2013-8 N/A 3136AB6C2 2163184.360000 PA USD 288427.110000 0.0026652 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 3798 N/A 3137A6AN2 244078.320000 PA USD 20876.210000 0.0001929 Long ABS-MBS USGSE US N 2 2041-01-15 Floating 1.88795 N N N N N N FANNIE MAE REMICS 2015-87 N/A 3136AQWR7 230799.720000 PA USD 23636.890000 0.0002184 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 3 N N N N N N FHR-5023 N/A 3137FWUP3 20076319.260000 PA USD 2651838.850000 0.0245044 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 2 N N N N N N MORTGAGEIT TRUST 2004-1 N/A 61913PAA0 89246.550000 PA USD 85293.380000 0.0007882 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.23322 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZ69 5212000.000000 PA 6527348.380000 0.0603161 Long ABS-MBS CORP GB N 2 2066-05-16 Floating 6.70536 N N N N N N FNMA PASS THRU POOLS N/A 3140FPBW8 532081.130000 PA USD 513882.270000 0.0047485 Long ABS-MBS USGSE US N 2 2047-05-01 Floating 3.275 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4 N/A 03880RAA7 2968475.440000 PA USD 2975433.460000 0.0274945 Long ABS-CBDO CORP KY N 2 2036-11-15 Floating 5.86157 N N N N N N FNMA PASS THRU POOLS N/A 31418EHF0 93942.430000 PA USD 88087.900000 0.000814 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB2 N/A 125438AB7 376800.660000 PA USD 322104.280000 0.0029764 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.40875 N N N N N N FHLMC PASS THRU POOLS N/A 3132XXE47 195519.300000 PA USD 181634.210000 0.0016784 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140XQXW2 20499309.600000 PA USD 20739623.620000 0.191645 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS3 N/A 52474XAA3 6939048.130000 PA USD 6935482.150000 0.0640874 Long ABS-MBS CORP US N 2 2061-07-25 Variable 4.75 N N N N N N AIMCO CLO SERIES 2015-AA N/A 00900LAY0 13100000.000000 PA USD 13145418.880000 0.12147 Long ABS-CBDO CORP KY N 2 2034-10-17 Floating 5.89745 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-24 N/A 02151GAC1 5868657.080000 PA USD 734656.100000 0.0067886 Long ABS-O CORP US N 2 2037-10-25 Floating 2.49678 N N N N N N GNMA PASS THRU POOLS N/A 36179SQV2 1282578.460000 PA USD 1128705.740000 0.0104298 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3 N N N N N N OBX 2023-NQM7 TRUST N/A 67117XAA4 3852216.800000 PA USD 3909939.960000 0.0361299 Long ABS-MBS CORP US N 2 2063-04-25 Fixed 6.844 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 69480.620000 PA USD 50210.870000 0.000464 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.74306 N N N N N N CIM TRUST 2019-R1 N/A 12555VAA3 2998540.090000 PA USD 2667485.970000 0.0246489 Long ABS-MBS CORP US N 2 2058-10-25 Variable 3.25 N N N N N N MORGAN STANLEY IXIS RE CAP TR 2006-2 N/A 617463AC8 14278589.230000 PA USD 4564106.780000 0.0421747 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.60322 N N N N N N PAGAYA AI DEBT TRUST 2024-3 N/A 69547XAA0 5469704.410000 PA USD 5505355.940000 0.0508723 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.258 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVF7 17243828.670000 PA USD 8670360.870000 0.0801186 Long ABS-MBS CORP US N 2 2035-10-19 Floating 6.82522 N N N N N N ARBOUR CLO VI DAC 6A N/A ACI2RC930 2000000.000000 PA 2072881.140000 0.0191545 Long ABS-CBDO CORP IE N 2 2037-11-15 Floating 4.32 N N N N N N PRPM 2024-NQM3 TRUST N/A 69381FAA8 4373523.260000 PA USD 4337788.950000 0.0400834 Long ABS-MBS CORP US N 2 2069-08-25 Fixed 5.228 N N N N N N FREDDIE MAC REMICS 5159 N/A 3137H3RQ7 23485039.880000 PA USD 3965838.840000 0.0366464 Long ABS-MBS USGSE US N 2 2044-03-25 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128KTLY4 325956.710000 PA USD 328296.860000 0.0030336 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N MASTR ASSET BACKED SECUR TR 2005-FRE1 N/A 57643LMA1 4242056.130000 PA USD 4011183.500000 0.0370654 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.95322 N N N N N N FANNIE MAE REMICS 2013-100 N/A 3136AGTH5 392673.190000 PA USD 209140.410000 0.0019326 Long ABS-MBS USGSE US N 2 2043-10-25 Floating 0 N N N N N N FREDDIE MAC STRIPS 337 N/A 31325VL36 2305396.800000 PA USD 211349.670000 0.001953 Long ABS-MBS USGSE US N 2 2044-09-15 Floating 1.33795 N N N N N N GNMA PASS THRU POOLS N/A 3617LR6H3 17470.230000 PA USD 15696.820000 0.000145 Long ABS-MBS USGSE US N 2 2049-10-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140X4VG8 8028935.330000 PA USD 6841206.740000 0.0632163 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 78770.210000 0.0007279 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 3200000.000000 USD 78770.210000 N N N GNMA PASS THRU POOLS N/A 36180UMA4 46662.120000 PA USD 42050.930000 0.0003886 Long ABS-MBS USGSE US N 2 2043-05-20 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132WMPB4 898314.610000 PA USD 809566.180000 0.0074808 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.5 N N N N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1 N/A 61776YAA7 3978452.440000 PA USD 3818381.790000 0.0352838 Long ABS-MBS CORP US N 2 2064-06-25 Fixed 4 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 7233321.700000 PA USD 7196402.100000 0.0664985 Long ABS-MBS CORP US N 2 2051-07-25 Variable 4.7436 N N N N N N FREDDIE MAC REMICS 5152 N/A 3137H3BS0 4721052.370000 PA USD 895786.170000 0.0082775 Long ABS-MBS USGSE US N 2 2049-11-25 Fixed 4 N N N N N N N/A N/A 000000000 170500000.000000 NC USD 323.950000 0.000003 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% JAN 30YR N/A 98.450000 USD 2025-01-07 XXXX -312703.390000 N N N FREDDIE MAC REMICS 4274 N/A 3137B5V67 2406254.580000 PA USD 239168.710000 0.00221 Long ABS-MBS USGSE US N 2 2043-11-15 Floating 1.33795 N N N N N N GNMA PASS THRU POOLS N/A 21H052629 48500000.000000 PA USD 48061156.000000 0.44411 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2012-80 N/A 3136A7VH2 2438928.000000 PA USD 205479.200000 0.0018987 Long ABS-MBS USGSE US N 2 2042-01-25 Fixed 3 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2021-A N/A 19424KAB9 10458925.620000 PA USD 9398034.960000 0.0868427 Long ABS-O CORP US N 2 2051-07-25 Fixed 1.6 N N N N N N FANNIE MAE INTEREST STRIP 430 N/A 31424QLR4 46637303.110000 PA USD 2316925.830000 0.0214096 Long ABS-MBS USGSE US N 2 2037-04-25 Fixed 1.5 N N N N N N FREDDIE MAC REMICS 5171 N/A 3137H4HW3 30148583.120000 PA USD 5037653.380000 0.0465505 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 2.5 N N N N N N PARK PLACE SECURITIES INC 2004-MCW1 N/A 70069FCJ4 11340498.270000 PA USD 11203828.260000 0.103529 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.57822 N N N N N N FANNIE MAE INTEREST STRIP FNS 427 N/A 31423XMV0 37738416.010000 PA USD 4650714.450000 0.042975 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 2 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-158 N/A 38377RGV1 865623.910000 PA USD 762219.940000 0.0070433 Long ABS-MBS USGSE US N 2 2040-12-20 Floating 0.63052 N N N N N N FREDDIE MAC STACR REMIC TRUST 2021-DNA5 N/A 35564KHE2 966526.100000 PA USD 973291.490000 0.0089937 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 6.21879 N N N N N N STRUCTURED ASSET SEC CORP 2006-RF1 N/A 86359DXR3 1211103.260000 PA USD 1067541.140000 0.0098646 Long ABS-MBS CORP US N 2 2036-01-25 Variable 4.68452 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-IM1 N/A 126670SP4 173846.900000 PA USD 152531.460000 0.0014095 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.93322 N N N N N N COUNTRYWIDE HOME LOANS 2007-HYB1 N/A 22239EAG1 257469.550000 PA USD 219090.470000 0.0020245 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.39989 N N N N N N FHLMC PASS THRU POOLS N/A 3132Y0FE5 1578794.900000 PA USD 1466679.260000 0.0135529 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FREDDIE MAC STRIPS 367 N/A 31325X2Z2 8252238.310000 PA USD 1441147.540000 0.0133169 Long ABS-MBS USGSE US N 2 2050-06-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36291FKA5 74690.690000 PA USD 74118.730000 0.0006849 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 31418EPE4 24030896.370000 PA USD 24173457.980000 0.223375 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 6 N N N N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01 N/A 3137G1BK2 1620995.210000 PA USD 1352056.540000 0.0124937 Long ABS-MBS MUN US N 2 2046-12-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WKNK7 1193074.670000 PA USD 1106852.520000 0.0102279 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-21 N/A 38383VX37 14107351.900000 PA USD 13951829.630000 0.128922 Long ABS-MBS USGSE US N 2 2053-02-20 Floating 5.3046 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15 N/A 38380CSQ7 838967.010000 PA USD 28349.110000 0.000262 Long ABS-MBS USGSE US N 2 2045-11-20 Floating 0 N N N N N N FNMA PASS THRU POOLS N/A 3140JNRD4 629671.580000 PA USD 616399.130000 0.0056958 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5 N N N N N N N/A N/A 000000000 264200000.000000 NC USD 26.420000 0.0000002 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.5000 01/07/25-10Y LCH 2035-01-07 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-01-03 XXXX -1558753.580000 N N N FANNIE MAE REMICS 2019-81 N/A 3136B8EF2 2620564.530000 PA USD 626839.820000 0.0057923 Long ABS-MBS USGSE US N 2 2050-01-25 Fixed 4.5 N N N N N N TOWD POINT MORTGAGE TRUST 2016-4 N/A 89172UAC2 901966.030000 PA USD 890889.440000 0.0082323 Long ABS-MBS CORP US N 2 2056-07-25 Variable 3.25 N N N N N N ALLEGRO CLO XI LTD 2019-2A N/A 01750HAQ5 1000000.000000 PA USD 1000697.950000 0.009247 Long ABS-CBDO CORP KY N 2 2033-01-19 Floating 5.8674 N N N N N N EFMT 2024-CES1 N/A 281907AA3 1600000.000000 PA USD 1596467.070000 0.0147522 Long ABS-MBS CORP US N 3 2060-01-26 Fixed 5.522 N N N N N N FANNIE MAE REMICS 2019-25 N/A 3136B4YU6 1559577.450000 PA USD 151066.290000 0.0013959 Long ABS-MBS USGSE US N 2 2049-01-25 Floating 1.36673 N N N N N N PRPM 2021-11 LLC N/A 69362QAA7 3410507.380000 PA USD 3414080.910000 0.0315479 Long ABS-MBS CORP US N 2 2026-11-25 Fixed 5.487 N N N N N N FANNIE MAE REMICS FNR-2016-26 N/A 3136AR4B1 11290235.710000 PA USD 2905222.650000 0.0268458 Long ABS-MBS USGSE US N 2 2045-05-25 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138WEKJ7 1848472.400000 PA USD 1664260.150000 0.0153786 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 3.5 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAJ8 2300000.000000 PA USD 2279399.590000 0.0210628 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.545 N N N N N N N/A N/A 000000000 -201388167.000000 PA USD -201753127.130000 -1.8643 Short RA US N 2 Reverse repurchase N 4.660000 2025-01-07 211258687.020000 USD 206444410.070000 USD AMBS N N N FREDDIE MAC 2885 N/A 31395J3Z7 5026.560000 PA USD 5152.170000 0.0000476 Long ABS-MBS USGSE US N 2 2034-11-15 Floating 5.54004 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H13 N/A 38383KB92 29860373.240000 PA USD 30306107.990000 0.280044 Long ABS-MBS USGSE US N 2 2074-08-20 Floating 5.5346 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB N/A 02150EAN3 1635221.340000 PA USD 872806.910000 0.0080652 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N FANNIE MAE REMICS 2024-10 N/A 3136BQ6B0 60239640.790000 PA USD 2930815.150000 0.0270822 Long ABS-MBS USGSE US N 2 2050-12-25 Floating 1.04035 N N N N N N FNMA PASS THRU POOLS N/A 3138WJBN7 39746.690000 PA USD 36883.420000 0.0003408 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 3962 N/A 3137AJKA1 435387.990000 PA USD 26926.480000 0.0002488 Long ABS-MBS USGSE US N 2 2038-06-15 Floating 1.76425 N N N N N N TRYSAIL CLO 2022-1A LTD N/A 89856JAA4 5500000.000000 PA USD 5505403.530000 0.0508728 Long ABS-CBDO CORP JE N 2 2033-10-20 Floating 7.2674 N N N N N N MORGAN STANLEY MTGE LN TR 2007-13 N/A 61756HAG5 280473.150000 PA USD 265309.590000 0.0024516 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 5.5 N N N N N N REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1 N/A 758983AA8 2500000.000000 PA USD 2552476.500000 0.0235862 Long ABS-O CORP US N 2 2036-07-15 Fixed 5.83 N N N N N N OBX 2023-NQM5 TRUST N/A 673919AL0 6228777.190000 PA USD 6300686.550000 0.0582216 Long ABS-MBS CORP US N 2 2063-06-25 Fixed 6.567 N N N N N N GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2024-1A N/A 36252MDC1 1488411.420000 PA 1038051.640000 0.0095921 Long ABS-O CORP CA N 2 2026-02-20 Fixed 4.981 N N N N N N GNMA PASS THRU POOLS N/A 36195B4W1 1177312.340000 PA USD 1068035.880000 0.0098692 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N IMS ECUADORIAN MORTGAGE 2021-1 TRUST N/A 44970EAA1 1331584.480000 PA USD 1295954.340000 0.0119753 Long ABS-MBS CORP US N 2 2043-08-18 Fixed 3.4 N N N N N N FNMA PASS THRU POOLS N/A 3138LHW91 46900000.000000 PA USD 45541032.170000 0.420823 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3.29 N N N N N N FANNIE MAE REMICS 2018-32 N/A 3136B1C28 5145370.720000 PA USD 3965610.790000 0.0366443 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 1.51673 N N N N N N FANNIE MAE REMICS 2023-39 N/A 3136BQFT1 170534350.610000 PA USD 28876905.600000 0.266838 Long ABS-MBS USGSE US N 2 2052-10-25 Fixed 3 N N N N N N FREDDIE MAC SEASONED LOANS STRUCTURED TRANSACTION SERIES 2024-1 N/A 35564CE45 42586143.050000 PA USD 43040290.200000 0.397714 Long ABS-MBS MUN US N 2 2034-05-25 Floating 5.53879 N N N N N N FANNIE MAE REMICS 2012-111 N/A 3136A9EX2 2292345.760000 PA USD 166972.170000 0.0015429 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 1.46673 N N N N N N FNMA PASS THRU POOLS N/A 3138WTST4 41306.450000 PA USD 40091.710000 0.0003705 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4 N N N N N N T-MOBILE US TRUST 2024-2A N/A 87268CAA5 7700000.000000 PA USD 7651208.180000 0.0707011 Long ABS-O CORP US N 2 2029-05-21 Fixed 4.25 N N N N N N FANNIE MAE REMICS 2017-37 N/A 3136AWGD3 1229778.900000 PA USD 221801.080000 0.0020496 Long ABS-MBS USGSE US N 2 2046-09-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2014-52 N/A 3136AKF81 3490413.420000 PA USD 3418103.920000 0.031585 Long ABS-MBS USGSE US N 2 2044-09-25 Floating 5.03327 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 147987.380000 PA USD 140984.840000 0.0013028 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N FANNIE MAE REMICS 2023-66 N/A 3136BQWV7 339426262.210000 PA USD 18218670.680000 0.16835 Long ABS-MBS USGSE US N 2 2037-08-25 Fixed 1.5 N N N N N N N/A N/A 000000000 -15000000.000000 NC USD -7852.500000 -0.0000726 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JAN 30YR N/A 95.630000 USD 2025-01-07 XXXX 68319.380000 N N N VALLEY FUNDING PLC 1A N/A ACI2SNZ51 2693000.000000 PA 3373051.730000 0.0311687 Long ABS-MBS CORP GB N 2 2066-05-16 Floating 7.70536 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4F7 2611885.290000 PA USD 2619077.900000 0.0242016 Long ABS-O CORP US N 2 2032-09-15 Fixed 6.678 N N N N N N FORTRESS CREDIT BSL VII LTD 2019-1A N/A 34956NAL6 10300000.000000 PA USD 10332031.660000 0.0954733 Long ABS-CBDO CORP KY N 2 2032-07-23 Floating 5.64946 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-8 N/A 41161PRT2 2571654.830000 PA USD 2031669.040000 0.0187737 Long ABS-MBS CORP US N 2 2035-09-19 Floating 6.72522 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-FX1 N/A 17309YAC1 5568021.160000 PA USD 3239764.800000 0.0299371 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.05322 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2017-A N/A 194204AA1 1816759.150000 PA USD 1834210.210000 0.016949 Long ABS-O CORP US N 2 2046-11-26 Floating 6.10322 N N N N N N FNMA PASS THRU POOLS N/A 31417YQ91 6918.790000 PA USD 6554.260000 0.0000606 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N CVC CORDATUS LOAN FUND V LTD 5A N/A ACI1G4C04 413750.330000 PA 428477.300000 0.0039594 Long ABS-CBDO CORP IE N 2 2030-07-21 Floating 3.869 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL7 N/A 74136TAA6 15924006.570000 PA USD 15953486.680000 0.147418 Long ABS-MBS CORP US N 2 2054-10-25 Fixed 5.9251 N N N N N N CRSNT TRUST 2021-MOON N/A 22877LAD9 24753000.000000 PA USD 24460753.710000 0.22603 Long ABS-MBS CORP US N 2 2036-04-15 Floating 5.71448 N N N N N N UMBS PASS THRU POOLS N/A 01F012411 -9500000.000000 PA USD -8145277.580000 -0.0752666 Short ABS-MBS USGSE US N 2 2040-01-15 Fixed 1.5 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 419946.520000 PA USD 400249.220000 0.0036985 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.19322 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12 N/A 0738795T1 5095140.070000 PA USD 4807800.660000 0.0444266 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.53322 N N N N N N FREDDIE MAC REMICS 4140 N/A 3137AWRZ0 1126487.030000 PA USD 27313.030000 0.0002524 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 2.5 N N N N N N CONNECTICUT AVENUE SECURITIES TRUST 2022-R04 N/A 20753YCK6 3750000.000000 PA USD 3902095.130000 0.0360574 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 7.66879 N N N N N N FREDDIE MAC-3123 N/A 31396JPR0 33499.540000 PA USD 27070.430000 0.0002501 Long ABS-MBS USGSE US N 2 2036-03-15 None 0 N N N N N N FREDDIE MAC REMICS 4141 N/A 3137AX2S1 90711.610000 PA USD 44341.920000 0.0004097 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 0 N N N N N N TABERNA PREFERRED FUNDING LTD 2005-2A N/A 87330UAB7 1325393.430000 PA USD 1235929.370000 0.0114206 Long ABS-CBDO CORP KY N 2 2035-11-05 Floating 5.2459 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-ECC1 N/A 126673AF9 977841.270000 PA USD 959425.980000 0.0088656 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.39822 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SPFW9 1268000.000000 PA 976218.500000 0.0090208 Long ABS-MBS CORP GB N 3 2066-05-16 Fixed 0 N N N N N N SYMPHONY CLO XXII LTD N/A 87167GCH1 8500000.000000 PA USD 8527458.150000 0.0787981 Long ABS-CBDO CORP KY N 2 2033-04-18 Floating 5.81235 N N N N N N FANNIE MAE REMICS 2016-62 N/A 3136ATWH3 3153472.300000 PA USD 333509.650000 0.0030818 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 1.31673 N N N N N N FREDDIE MAC REMICS 4037 N/A 3137ANUN3 6974.940000 PA USD 3.890000 0 Long ABS-MBS USGSE US N 2 2027-04-15 Fixed 3 N N N N N N FREDDIE MAC REMICS 4776 N/A 3137F4RD6 1681329.270000 PA USD 219399.180000 0.0020274 Long ABS-MBS USGSE US N 2 2048-03-15 Floating 1.48795 N N N N N N N/A N/A 000000000 1.000000 NC USD 4021055.050000 0.0371566 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-02-02 906825.000000 USD 0.000000 USD 678000000.000000 USD 3114230.050000 N N N FANNIE MAE REMICS 2014-73 N/A 3136ALMS7 9980500.010000 PA USD 986995.600000 0.0091203 Long ABS-MBS USGSE US N 2 2044-11-25 Floating 1.36673 N N N N N N GNMA PASS THRU POOLS N/A 36202E6U8 9106.140000 PA USD 8357.670000 0.0000772 Long ABS-MBS USGSE US N 2 2039-07-20 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140LJ7J9 11125000.000000 PA USD 10873624.280000 0.100478 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.7 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2021-B N/A 19425AAB0 8265671.480000 PA USD 7386331.330000 0.0682535 Long ABS-O CORP US N 2 2052-06-25 Fixed 1.76 N N N N N N FNMA PASS THRU POOLS N/A 3140FTFW6 102538.400000 PA USD 97103.980000 0.0008973 Long ABS-MBS USGSE US N 2 2047-01-01 Floating 2.1 N N N N N N N/A N/A 000000000 19300000.000000 NC USD 9.650000 0.0000001 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 01/30/25-10Y LCH 2035-01-30 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-01-28 XXXX -111930.350000 N N N FANNIE MAE REMICS 2021-59 N/A 3136BGW64 24687161.100000 PA USD 3651584.150000 0.0337425 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.5 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST N/A 955GLSII8 10000000.000000 PA USD 9250000.000000 0.0854748 Long ABS-MBS CORP US Y 3 2052-08-01 Floating 4.35 N N N N N N JP MORGAN MORTGAGE TRUST 2021-12 N/A 46592WBU9 47022379.650000 PA USD 1257632.350000 0.0116212 Long ABS-O CORP US N 2 2052-02-25 Variable 0.486245 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL6 N/A 69381QAA4 7649551.460000 PA USD 7617273.410000 0.0703875 Long ABS-MBS CORP US N 2 2054-10-25 Fixed 5.9256 N N N N N N N/A N/A 000000000 1.000000 NC USD 41484.610000 0.0003833 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 1500000.000000 USD 41484.610000 N N N PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC N/A 74043CAA5 200333.430000 PA USD 183805.920000 0.0016985 Long DBT CORP KY N 2 2037-03-22 Floating 4.92018 N N N N N N FREDDIE MAC REMICS 4255 N/A 3137B5HZ9 222528.870000 PA USD 207317.110000 0.0019157 Long ABS-MBS USGSE US N 2 2035-05-15 Floating 0 N N N N N N FREDDIE MAC REMICS 4795 N/A 3137F5RR2 1096017.330000 PA USD 128708.060000 0.0011893 Long ABS-MBS USGSE US N 2 2048-06-15 Floating 1.48795 N N N N N N LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A N/A 50346EAA5 7910243.750000 PA USD 7670075.460000 0.0708754 Long ABS-MBS CORP PA N 3 2042-11-24 Floating 3.508 N N N N N N ELEVATION CLO 2022-16A LTD N/A 28623YAU7 18700000.000000 PA USD 18700000.000000 0.172798 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.46731 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XKR0 690107.080000 PA USD 125421.590000 0.001159 Long ABS-MBS USGSE US N 2 2047-10-15 Variable 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWGS6 24613658.430000 PA USD 24744686.040000 0.228654 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 6 N N N N N N SYCAMORE TREE CLO 2023-2A LTD N/A 87122CAJ2 19900000.000000 PA USD 20078341.610000 0.185534 Long ABS-CBDO CORP KY N 2 2037-01-20 Floating 6.2974 N N N N N N GCAT 2024-NQM1 TRUST N/A 36169HAA1 3492629.030000 PA USD 3511732.660000 0.0324502 Long ABS-MBS CORP US N 2 2059-01-25 Fixed 6.007 N N N N N N FANNIE MAE-2020-33 N/A 3136B9B22 1451195.650000 PA USD 1448309.660000 0.0133831 Long ABS-MBS USGSE US N 2 2050-05-25 Floating 5.61896 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7 N/A 36273CAR8 110477444.480000 PA USD 99374571.790000 0.918272 Long ABS-MBS CORP US N 2 2064-07-25 Fixed 4.45854 N N N N N N FREDDIE MAC REMICS 5051 N/A 3137F7ZF5 10204800.240000 PA USD 1572597.470000 0.0145316 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.5 N N N N N N FREDDIE MAC 3001 N/A 31395WBC0 639326.030000 PA USD 665978.000000 0.006154 Long ABS-MBS USGSE US N 2 2035-07-15 Fixed 6 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAJ2 634685.380000 PA USD 550669.280000 0.0050885 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.17627 N N N N N N FNMA PASS THRU POOLS N/A 3140QKNQ7 95556603.810000 PA USD 81951356.810000 0.757273 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N FREDDIE MAC REMICS 5426 N/A 3137HCY30 49059553.760000 PA USD 2158635.080000 0.0199469 Long ABS-MBS USGSE US N 2 2050-12-15 Floating 1.24809 N N N N N N ENTERPRISE FLEET FINANCING 2024-3 LLC N/A 29375QAB4 4200000.000000 PA USD 4231969.980000 0.0391056 Long ABS-O CORP US N 2 2027-04-20 Fixed 5.31 N N N N N N FREDDIE MAC REMICS 5069 N/A 3137F9BQ3 11857360.290000 PA USD 1707691.100000 0.0157799 Long ABS-MBS USGSE US N 2 2041-02-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140AU4Y6 497949.180000 PA USD 508543.750000 0.0046992 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A 3131YA2J8 308169.480000 PA USD 294693.810000 0.0027231 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.5 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-4 N/A 026934AD1 6080010.800000 PA USD 5395724.430000 0.0498593 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.03322 N N N N N N VENTURE 38 CLO LTD N/A 92332NAW5 14200000.000000 PA USD 14245452.780000 0.131635 Long ABS-CBDO CORP KY N 2 2032-07-30 Floating 6.60078 N N N N N N FHLMC PASS THRU POOLS N/A 3132DS5G3 13146378.840000 PA USD 12252027.660000 0.113215 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 4 N N N N N N SCCU AUTO RECEIVABLES TRUST 2024-1A N/A 78436RAC4 15697016.160000 PA USD 15754627.350000 0.145581 Long ABS-O CORP US N 2 2027-12-15 Fixed 5.45 N N N N N N FANNIE MAE REMICS 2012-132 N/A 3136AAPX7 678676.580000 PA USD 50024.780000 0.0004623 Long ABS-MBS USGSE US N 2 2032-12-25 Fixed 3 N N N N N N STRUCTURED ASSET INVST LN TR 2006-2 N/A 86358EE77 33637145.070000 PA USD 17057251.630000 0.157618 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.05322 N N N N N N NLT 2023-1 TRUST N/A 62917MAA1 3279504.450000 PA USD 2908851.910000 0.0268793 Long ABS-MBS CORP US N 2 2062-10-25 Variable 3.2 N N N N N N PRPM 2024-7 LLC N/A 74448LAA6 4916832.520000 PA USD 4933144.600000 0.0455848 Long ABS-MBS CORP US N 2 2029-11-25 Fixed 5.87 N N N N N N N/A N/A 000000000 -9244.000000 NC USD -7702893.380000 -0.0711787 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-03-18 -2210673712.500000 USD -7702893.380000 N N N FORD CREDIT AUTO OWNER TRUST 2023-A N/A 344928AD8 3900000.000000 PA USD 3905801.640000 0.0360916 Long ABS-O CORP US N 2 2028-02-15 Fixed 4.65 N N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4 N/A 12498QAD8 3809759.540000 PA USD 2532554.040000 0.0234021 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.93322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180 N/A 38376T6N7 1217651.150000 PA USD 41377.860000 0.0003824 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 0 N N N N N N MFA 2021-AEINV2 TRUST N/A 55284CBS2 28585448.640000 PA USD 4179622.800000 0.0386219 Long ABS-O CORP US N 2 2051-10-25 Variable 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23 N/A 38383KGD8 14885052.160000 PA USD 15087536.500000 0.139417 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 5.5646 N N N N N N FREDDIE MAC 2454 N/A 31392KCZ7 57772.500000 PA USD 4626.610000 0.0000428 Long ABS-MBS USGSE US N 2 2031-06-15 Floating 3.28795 N N N N N N FNMA PASS THRU POOLS N/A 3140FVCM6 998756.900000 PA USD 961012.450000 0.0088802 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N TABERNA PREFERRED FUNDING LTD 2006-6A N/A 87331AAB0 27625295.260000 PA USD 24310259.830000 0.224639 Long ABS-CBDO CORP KY N 2 2036-12-05 Floating 5.1759 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-26 N/A 12668HAA8 5762632.710000 PA USD 5392396.240000 0.0498285 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.59322 N N N N N N FREDDIE MAC REMICS 5229 N/A 3137H7SX2 2762798.460000 PA USD 514867.660000 0.0047576 Long ABS-MBS USGSE US N 2 2049-08-25 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 3611 N/A 31398LSE9 47898.040000 PA USD 41542.370000 0.0003839 Long ABS-MBS USGSE US N 2 2034-07-15 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31418CU85 89901.900000 PA USD 83570.370000 0.0007722 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2018-27 N/A 3136B1L69 1831479.260000 PA USD 192403.860000 0.0017779 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 1.51673 N N N N N N PRET 2024-NPL5 LLC N/A 74143QAA3 7008894.100000 PA USD 6954681.010000 0.0642648 Long ABS-MBS CORP US N 2 2054-09-25 Fixed 5.963 N N N N N N FNMA PASS THRU POOLS N/A 31418EVU1 3230747.930000 PA USD 3113408.780000 0.0287695 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.5 N N N N N N FANNIE MAE 2008-53 N/A 31397LC31 80381.660000 PA USD 80320.860000 0.0007422 Long ABS-MBS USGSE US N 2 2038-07-25 Floating 5.53327 N N N N N N FREDDIE MAC REMICS 4990 N/A 3137FUYG3 8938396.240000 PA USD 993140.740000 0.0091771 Long ABS-MBS USGSE US N 2 2050-05-25 Floating 1.46673 N N N N N N N/A N/A 000000000 456200000.000000 NC USD 28968.700000 0.0002677 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/6.00000 09/04/25-1Y LCH 2026-09-04 0.000000 USD 0.000000 USD N/A USD N/A 6.000000 USD 2025-09-02 XXXX -317743.300000 N N N FREDDIE MAC STRIPS 414 N/A 3142G9U81 24877210.600000 PA USD 3767114.950000 0.0348101 Long ABS-MBS USGSE US N 2 2052-07-25 Fixed 2.5 N N N N N N N/A N/A 000000000 -2000000.000000 NC USD -0.020000 0 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% JAN 30YR N/A 99.590000 USD 2025-01-07 XXXX 5624.980000 N N N EMCM MORTGAGE LOAN TRUST 2003-A N/A 268668BS8 487421.230000 PA USD 486271.010000 0.0044934 Long ABS-MBS CORP US N 2 2040-08-25 Floating 5.55322 N N N N N N FANNIE MAE REMICS 2015-84 N/A 3136AQRG7 529798.800000 PA USD 81984.350000 0.0007576 Long ABS-MBS USGSE US N 2 2045-11-25 Fixed 3 N N N N N N FREDDIE MAC 4820 N/A 3137FHHV8 1187521.440000 PA USD 138760.220000 0.0012822 Long ABS-MBS USGSE US N 2 2048-03-15 Floating 1.48795 N N N N N N FNMA PASS THRU POOLS N/A 3140AEVL0 519700.890000 PA USD 530847.780000 0.0049053 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N FANNIE MAE REMICS 2021-26 N/A 3136BHFV6 11494242.330000 PA USD 1639938.730000 0.0151539 Long ABS-MBS USGSE US N 2 2051-05-25 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 21H050615 189000000.000000 PA USD 183366913.590000 1.6944 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 5 N N N N N N N/A N/A 000000000 46500000.000000 NC USD 3134.100000 0.000029 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% JAN 30YR N/A 97.410000 USD 2025-01-07 XXXX -174873.710000 N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAC7 8750000.000000 PA USD 8419383.000000 0.0777994 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.01148 N N N N N N FANNIE MAE REMICS 2024-38 N/A 3136BR4T1 107304847.420000 PA USD 4629946.630000 0.0427831 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 1.08734 N N N N N N FNMA PASS THRU POOLS N/A 3140QPSU2 11389450.390000 PA USD 10741072.900000 0.099253 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-18 N/A 23243WAD0 9985311.600000 PA USD 9410930.510000 0.0869618 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.93322 N N N N N N GNMA PASS THRU POOLS N/A 3617BB7B1 934789.850000 PA USD 848030.390000 0.0078362 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.5 N N N N N N SMRT 2022-MINI N/A 78457JAA0 30128000.000000 PA USD 30068943.090000 0.277853 Long ABS-MBS CORP US N 2 2039-01-15 Floating 5.398 N N N N N N AG TRUST 2024-NLP N/A 00792MAA1 3200000.000000 PA USD 3214693.760000 0.0297054 Long ABS-MBS CORP US N 2 2041-07-15 Floating 6.41273 N N N N N N C-BASS CBO XV LTD 15A N/A 124670AA8 248639703.310000 PA USD 4652048.850000 0.0429873 Long ABS-CBDO CORP KY N 2 2041-02-16 Floating 8.02 N N N N N N FANNIE MAE INTEREST STRIP 417 N/A 31395QF96 968824.940000 PA USD 33714.560000 0.0003115 Long ABS-MBS USGSE US N 2 2028-02-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2015-1 N/A 3136AMLG2 1947150.870000 PA USD 339740.050000 0.0031394 Long ABS-MBS USGSE US N 2 2045-02-25 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4315 N/A 3137B8JG3 1545166.750000 PA USD 168511.870000 0.0015571 Long ABS-MBS USGSE US N 2 2041-08-15 Floating 1.33795 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07 N/A 38383KVE9 4341005.390000 PA USD 4336726.460000 0.0400736 Long ABS-MBS USGSE US N 2 2074-02-20 Floating 5.2546 N N N N N N FNMA PASS THRU POOLS N/A 3140AACA3 1656762.320000 PA USD 1669157.320000 0.0154239 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-10 N/A 69544MAA7 9600000.000000 PA USD 9608328.000000 0.0887859 Long ABS-O CORP US N 2 2032-06-15 Fixed 5.183 N N N N N N FANNIE MAE REMICS 2012-111 N/A 3136A9GA0 295319.900000 PA USD 8639.260000 0.0000798 Long ABS-MBS USGSE US N 2 2027-10-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140GQNB8 87617.510000 PA USD 81083.240000 0.0007493 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2024-PT2 N/A 69546YAA9 1500000.000000 PA USD 1496861.990000 0.0138318 Long ABS-O CORP US N 3 2032-04-15 Fixed 6.261 N N N N N N FANNIE MAE REMICS 2012-111 N/A 3136A9DU9 4040345.630000 PA USD 384887.370000 0.0035566 Long ABS-MBS USGSE US N 2 2042-10-25 Floating 1.36673 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H22 N/A 38383KEF5 6261817.730000 PA USD 6349465.020000 0.0586723 Long ABS-MBS USGSE US N 2 2073-09-20 Floating 5.5546 N N N N N N FHLMC PASS THRU POOLS N/A 3132L92Z7 42799.610000 PA USD 40914.650000 0.0003781 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.5 N N N N N N N/A N/A 000000000 472000000.000000 NC USD 1085.600000 0.00001 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.25000 03/05/25-1Y LCH 2026-03-05 0.000000 USD 0.000000 USD N/A USD N/A 5.250000 USD 2025-03-03 XXXX -754114.400000 N N N FREDDIE MAC STRIPS 304 N/A 31325UP34 202712.660000 PA USD 6996.220000 0.0000646 Long ABS-MBS USGSE US N 2 2027-12-15 Variable 3.15152 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2025-SJ1 N/A 958WXFII5 800000.000000 PA USD 400841.780000 0.003704 Long ABS-MBS CORP US N 3 2079-08-01 Fixed 0 N N N N N N VERUS SECURITIZATION TRUST 2023-7 N/A 92539YAA0 11132224.950000 PA USD 11331253.550000 0.104707 Long ABS-MBS CORP US N 2 2068-10-25 Fixed 7.07 N N N N N N FNMA PASS THRU POOLS N/A 3140QK5H7 29336604.190000 PA USD 25383010.670000 0.234552 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140J8QX4 3667465.930000 PA USD 3437315.940000 0.0317626 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 3.5 N N N N N N N/A N/A 000000000 -82100000.000000 NC USD -689188.450000 -0.0063685 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.10000 02/05/25-10Y LCH 2035-02-05 0.000000 USD 0.000000 USD N/A USD N/A 4.100000 USD 2025-02-03 XXXX 201596.550000 N N N MASTR ASSET BACKED SEC TR 2006-AM3 N/A 57645EAM2 7488924.760000 PA USD 6587042.540000 0.0608677 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.93322 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3 N/A 161917AB5 12479318.590000 PA USD 11051876.720000 0.102125 Long ABS-MBS CORP US N 2 2064-09-25 Variable 3.25 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4 N/A 35563PMX4 28500000.000000 PA USD 26396637.300000 0.243919 Long ABS-MBS CORP US N 2 2059-02-25 Variable 4.5 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-C2 N/A 22545YAQ4 2500000.000000 PA USD 551131.500000 0.0050927 Long ABS-MBS CORP US N 2 2049-01-15 Variable 5.55116 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H05 N/A 38376RU61 806337.910000 PA USD 805644.300000 0.0074446 Long ABS-MBS USGSE US N 2 2067-02-20 Floating 5.51648 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-90 N/A 38378TA91 116808.750000 PA USD 4788.420000 0.0000442 Long ABS-MBS USGSE US N 2 2041-12-16 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179UCC4 479361.420000 PA USD 459612.800000 0.0042471 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36241LWR3 9606.140000 PA USD 10075.420000 0.0000931 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 6 N N N N N N BCAP LLC TRUST 2007-AA2 N/A 05530NBA4 974593.740000 PA USD 392205.760000 0.0036242 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 5.5 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A N/A 37989AAC8 5591897.400000 PA USD 5610582.730000 0.0518447 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.35 N N N N N N FNMA PASS THRU POOLS N/A 3140H23K2 1076332.820000 PA USD 1003266.850000 0.0092707 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140EW6G5 48487.070000 PA USD 45044.540000 0.0004162 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-3 N/A 93934FNT5 6218368.320000 PA USD 4503482.870000 0.0416145 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6.5 N N N N N N FANNIE MAE REMICS 2019-68 N/A 3136B6R21 10726390.420000 PA USD 1274831.500000 0.0117801 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.31673 N N N N N N N/A N/A 000000000 166800000.000000 NC USD 183.480000 0.0000017 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 02/03/25-10Y LCH 2035-02-03 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-01-30 XXXX -792116.520000 N N N FNMA PASS THRU POOLS N/A 3140FXJG8 16851320.840000 PA USD 14175654.300000 0.13099 Long ABS-MBS USGSE US N 2 2058-05-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QB6D5 3069048.470000 PA USD 2925582.120000 0.0270339 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.5 N N N N N N GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1 N/A 36262EAE6 5664000.000000 PA USD 4304353.970000 0.0397744 Long ABS-MBS CORP US N 2 2061-07-25 Variable 3.207 N N N N N N FREDDIE MAC REMICS 4119 N/A 3137AUUR8 1813807.250000 PA USD 1672306.160000 0.015453 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 1.75 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAE8 685000.000000 PA USD 686043.100000 0.0063394 Long ABS-O CORP US N 3 2054-11-25 Fixed 6.6 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-4A N/A 30166UAB6 20588050.650000 PA USD 20635380.520000 0.190682 Long ABS-O CORP US N 2 2027-05-17 Fixed 5.6 N N N N N N N/A N/A 000000000 -880000000.000000 NC USD -1354496.000000 -0.0125162 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written N/A USD-SOFR-COMPOUND N/A 0.020000 USD 2027-10-01 XXXX 5685504.000000 N N N N/A N/A 000000000 1.000000 NC USD 248952529.810000 2.30045 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 140695856.390000 USD 0.000000 USD 1496600000.000000 USD 108256673.420000 N N N CENTEX HOME EQUITY 2005-B N/A 152314NE6 1652947.150000 PA USD 1624611.010000 0.0150122 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.41322 N N N N N N FNMA PASS THRU POOLS N/A 3140AMGK1 924729.000000 PA USD 966562.080000 0.0089315 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 7 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAB6 3960000.000000 PA USD 3964746.460000 0.0366363 Long ABS-O CORP US N 2 2027-12-10 Fixed 4.84 N N N N N N FNMA PASS THRU POOLS N/A 3140JN6D7 311892.910000 PA USD 289350.800000 0.0026738 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2015-73 N/A 3136AP7M8 584450.250000 PA USD 332013.680000 0.003068 Long ABS-MBS USGSE US N 2 2045-10-25 Floating 0 N N N N N N UMBS PASS THRU POOLS N/A 01F040628 79800000.000000 PA USD 72967392.330000 0.674256 Long ABS-MBS USGSE US N 2 2055-02-13 Fixed 4 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2024-1A N/A 76088YAA8 1981513.130000 PA USD 2006316.520000 0.0185394 Long ABS-O CORP US N 2 2032-06-25 Fixed 7.09 N N N N N N GNMA PASS THRU POOLS N/A 36179WXK9 4770261.370000 PA USD 4141038.140000 0.0382653 Long ABS-MBS USGSE US N 2 2052-02-20 Fixed 3 N N N N N N BCP TRUST 2021-330N N/A 05553BAL9 12750000.000000 PA USD 6506382.380000 0.0601223 Long ABS-MBS CORP US N 2 2038-06-15 Floating 7.00448 N N N N N N N/A N/A 000000000 1.000000 NC USD 12272721.750000 0.113406 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-22 1833590.000000 USD 0.000000 USD 211000000.000000 USD 10439131.750000 N N N STRUCTURED ASSET SEC CORP 2005-RF4 N/A 86359DQB6 525545.020000 PA USD 486639.610000 0.0044968 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.70322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H03 N/A 38381RDA4 1277903.990000 PA USD 1281727.220000 0.0118438 Long ABS-MBS USGSE US N 2 2069-02-20 Floating 5.9052 N N N N N N FANNIE MAE REMICS 2012-142 N/A 3136A96P8 2608436.860000 PA USD 347579.950000 0.0032118 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133AJDD2 1033331.660000 PA USD 891018.250000 0.0082335 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QRVQ3 3328432.820000 PA USD 3252108.790000 0.0300512 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 5 N N N N N N DEUTSCHE ALT-A SECURITIES INC MORTGAGE LOAN TRUST 2007-2 N/A 25152BAE8 13851561.310000 PA USD 11665672.740000 0.107797 Long ABS-MBS CORP US N 2 2047-09-25 Floating 4.75322 N N N N N N REGIONAL MANAGEMENT ISSUANCE TRUST 2024-2 N/A 75907AAA1 5400000.000000 PA USD 5412348.180000 0.0500129 Long ABS-O CORP US N 2 2033-12-15 Fixed 5.11 N N N N N N FREDDIEMAC STRIP-207 N/A 3128CU7F7 27379.530000 PA USD 25551.590000 0.0002361 Long ABS-MBS USGSE US N 2 2030-04-01 None 0 N N N N N N LOANCORE 2022-CRE7 ISSUER LTD N/A 53946PAA8 6031195.180000 PA USD 6073765.890000 0.0561247 Long ABS-CBDO CORP KY N 2 2037-01-17 Floating 6.14824 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL2 N/A 69392CAA2 3761864.220000 PA USD 3521187.290000 0.0325376 Long ABS-MBS CORP US N 2 2064-06-25 Fixed 4.075 N N N N N N FREDDIE MAC REMICS 4394 N/A 3137BEV43 179834.860000 PA USD 10273.570000 0.0000949 Long ABS-MBS USGSE US N 2 2041-08-15 Floating 1.68377 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL2 N/A 542514NE0 3000000.000000 PA USD 2711841.600000 0.0250588 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.36822 N N N N N N FREDDIE MAC REMICS 5034 N/A 3137F6K55 100791038.870000 PA USD 12777683.160000 0.118072 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAJ5 15035000.000000 PA USD 14963189.830000 0.138268 Long ABS-MBS CORP US N 2 2035-04-15 Floating 5.97 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P3 N/A 14688GAC8 5900000.000000 PA USD 5973504.560000 0.0551983 Long ABS-O CORP US N 2 2028-08-10 Fixed 5.82 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127 N/A 38379MY32 1065972.730000 PA USD 44172.200000 0.0004082 Long ABS-MBS USGSE US N 2 2041-07-20 Floating 0 N N N N N N CIM TRUST 2023-I2 N/A 12570HAA5 3434521.530000 PA USD 3469624.400000 0.0320611 Long ABS-MBS CORP US N 2 2067-12-25 Fixed 6.639 N N N N N N FNMA PASS THRU POOLS N/A 3140LKDG5 10571000.000000 PA USD 10432382.690000 0.0964006 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 4.14 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GX0 3373844.720000 PA USD 1582414.480000 0.0146223 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.166 N N N N N N BWAY MORTGAGE TRUST 2021-1450 N/A 12430YAJ9 6000000.000000 PA USD 4903128.900000 0.0453074 Long ABS-MBS CORP US N 2 2036-09-15 Floating 6.71157 N N N N N N FANNIE MAE REMICS 2020-86 N/A 3136BCM72 26900677.990000 PA USD 3748921.530000 0.034642 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2023-61 N/A 3136BQWM7 107904944.140000 PA USD 22847231.770000 0.21112 Long ABS-MBS USGSE US N 2 2053-03-25 Fixed 4 N N N N N N FREDDIE MAC REMICS 5458 N/A 3137HFWZ4 15579298.870000 PA USD 15456308.100000 0.142824 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 5.66879 N N N N N N ACHV ABS TRUST 2024-3AL N/A 00092KAA2 797479.200000 PA USD 798051.470000 0.0073744 Long ABS-O CORP US N 2 2031-12-26 Fixed 5.01 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-E N/A 78450XAB4 3258236.030000 PA USD 3287408.320000 0.0303773 Long ABS-O CORP US N 2 2056-10-16 Floating 5.94757 N N N N N N BCAP LLC TRUST 2011-R11 N/A 05533FLT6 2722489.320000 PA USD 2484752.570000 0.0229604 Long ABS-MBS CORP US N 2 2036-02-26 Variable 5.02601 N N N N N N PROVIDUS CLO II DAC 2A N/A ACI2RB411 1750000.000000 PA 1815024.150000 0.0167718 Long ABS-CBDO CORP IE N 2 2038-10-15 Floating 4.344 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAG9 7825000.000000 PA USD 7783917.190000 0.0719274 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 6.58969 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2 N/A 64831GAX3 10507137.350000 PA USD 1090237.380000 0.0100744 Long ABS-O CORP US N 2 2051-09-25 Variable 2 N N N N N N FANNIE MAE REMICS 2014-43 N/A 3136AKKU6 870578.500000 PA USD 44415.090000 0.0004104 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 1.30299 N N N N N N FNMA PASS THRU POOLS N/A 3140X6S77 21784688.490000 PA USD 18757665.940000 0.173331 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3 N N N N N N FANNIE MAE 2010-135 N/A 31398SG23 571661.700000 PA USD 566393.890000 0.0052338 Long ABS-MBS USGSE US N 2 2040-12-25 Floating 5.23327 N N N N N N BANC OF AMERICA FUND CORP 2006-5 N/A 05950NBC1 12149.580000 PA USD 11841.560000 0.0001094 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 N N N N N N FANNIE MAE-2020-27 N/A 3136B9UP0 10449290.870000 PA USD 834925.510000 0.0077151 Long ABS-MBS USGSE US N 2 2035-05-25 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132H5EK0 45311.330000 PA USD 42610.510000 0.0003937 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4 N N N N N N FREDDIE MAC STRIPS 389 N/A 31325YRU4 138199917.910000 PA USD 21228210.830000 0.19616 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36196EST5 630739.720000 PA USD 572198.540000 0.0052874 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N N/A N/A 000000000 -197500000.000000 NC USD -786721.500000 -0.0072697 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.20250 02/10/25-7Y LCH 2032-02-10 0.000000 USD 0.000000 USD N/A USD N/A 4.200000 USD 2025-02-06 XXXX -460846.500000 N N N GNMA PASS THRU POOLS N/A 36179XS80 19366874.110000 PA USD 16874460.830000 0.155929 Long ABS-MBS USGSE US N 2 2053-02-20 Fixed 3 N N N N N N PRPM 2024-1 LLC N/A 693972AA9 9698500.440000 PA USD 9752397.920000 0.0901172 Long ABS-MBS CORP US N 2 2029-02-25 Variable 6.959 N N N N N N N/A N/A 000000000 1.000000 NC -254748.460000 -0.002354 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-19 0.000000 EUR -288736.820000 EUR 18300000.000000 EUR 33988.360000 N N N FANNIE MAE REMICS 2019-49 N/A 3136B55K7 3919281.840000 PA USD 412998.240000 0.0038163 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 1.33673 N N N N N N N/A N/A 000000000 1.000000 NC USD 6579223.250000 0.0607954 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-04-26 2479278.330000 USD 0.000000 USD 112100000.000000 USD 4099944.920000 N N N N/A N/A 000000000 1.000000 NC USD 36815.900000 0.0003402 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 2100000.000000 USD 36815.900000 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 491238.440000 PA USD 4783188.690000 0.0441991 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140J9D40 2061184.220000 PA USD 1912218.050000 0.0176699 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2 N/A 04541GWC2 1546207.780000 PA USD 1382301.250000 0.0127732 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.95322 N N N N N N FNMA PASS THRU POOLS N/A 3138WG7A6 436394.460000 PA USD 405413.210000 0.0037462 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 2893373.660000 PA USD 2898023.800000 0.0267792 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 5.73324 N N N N N N FANNIE MAE REMICS 2013-103 N/A 3136AGMW9 2392250.520000 PA USD 1712484.400000 0.0158242 Long ABS-MBS USGSE US N 2 2043-10-25 None 0 N N N N N N CHASE HOME LENDING MORTGAGE TRUST 2024-9 N/A 16160QAX2 15742807.200000 PA USD 15737727.000000 0.145425 Long ABS-MBS CORP US N 2 2055-09-25 Floating 5.81879 N N N N N N FREDDIE MAC REMICS 5070 N/A 3137F9WW7 37115866.760000 PA USD 7072406.140000 0.0653527 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3.5 N N N N N N SOUND POINT CLO XXVII LTD N/A 83611VAS7 10400000.000000 PA USD 10418734.870000 0.0962745 Long ABS-CBDO CORP KY N 2 2034-10-25 Floating 6.06748 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-1 N/A 88522EAC7 2655983.510000 PA USD 1888123.270000 0.0174472 Long ABS-MBS CORP US N 2 2037-03-25 Floating 6.22601 N N N N N N FREDDIE MAC REMICS 4062 N/A 3137ARG83 37.690000 PA USD 35.640000 0.0000003 Long ABS-MBS USGSE US N 2 2041-02-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XCTU2 3710202.320000 PA USD 3161256.370000 0.0292116 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 3 N N N N N N FREDDIE MAC 4660 N/A 3137BVJ80 4186157.620000 PA USD 3432357.470000 0.0317167 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 0 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2024-2 N/A 26207AAC7 27000000.000000 PA USD 27031611.600000 0.249786 Long ABS-O CORP US N 2 2027-12-15 Fixed 4.94 N N N N N N NEW YORK MORTGAGE TRUST 2024-CP1 N/A 67118PAA0 1831107.710000 PA USD 1687962.880000 0.0155976 Long ABS-MBS CORP US N 2 2068-02-25 Fixed 3.75 N N N N N N AMERIQUEST MORTGAGE SEC INC 2004-R10 N/A 03072SVS1 932543.970000 PA USD 885149.940000 0.0081792 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.57822 N N N N N N FNMA PASS THRU POOLS N/A 31417GUP9 952408.370000 PA USD 897101.090000 0.0082897 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 4072 N/A 3137ARRJ7 1380065.760000 PA USD 1261446.760000 0.0116564 Long ABS-MBS USGSE US N 2 2042-05-15 Fixed 3.5 N N N N N N BBCMS TRUST 2018-CBM N/A 05549RAC1 3300000.000000 PA USD 3208790.310000 0.0296509 Long ABS-MBS CORP US N 2 2037-07-15 Floating 5.88611 N N N N N N 522 FUNDING CLO 2020-6 LTD N/A 33835AAY5 4600000.000000 PA USD 4607866.000000 0.0425791 Long ABS-CBDO CORP KY N 2 2034-10-23 Floating 5.75833 N N N N N N FANNIE MAE REMICS 2016-48 N/A 3136ATLJ1 6879802.860000 PA USD 834079.090000 0.0077073 Long ABS-MBS USGSE US N 2 2046-08-25 Floating 1.31673 N N N N N N RALI TRUST 2007-QS8 N/A 74922UAB9 2306598.070000 PA USD 195116.980000 0.001803 Long ABS-O CORP US N 2 2037-06-25 Floating 2.14678 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H29 N/A 38375BZQ8 44616.570000 PA USD 44582.240000 0.000412 Long ABS-MBS USGSE US N 2 2062-10-20 Floating 5.28148 N N N N N N FANNIEMAE WHOLE LOAN 2006-W3 N/A 31396L7D6 4471604.350000 PA USD 131271.990000 0.001213 Long ABS-MBS USGSE US N 2 2046-10-25 Variable 1.14039 N N N N N N GNMA PASS THRU POOLS N/A 3622A2AN2 18928.110000 PA USD 18391.790000 0.0001699 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 24942295.680000 0.23048 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -10778902.210000 USD 909400000.000000 USD 35721197.890000 N N N N/A N/A 000000000 205200000.000000 NC USD 1119058.200000 0.0103407 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 05/22/25-10Y LCH 2035-05-22 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2025-05-20 XXXX -4811221.800000 N N N VERUS SECURITIZATION TRUST 2023-INV1 N/A 92539FAA1 3350542.150000 PA USD 3361441.800000 0.0310615 Long ABS-MBS CORP US N 2 2068-02-25 Fixed 5.999 N N N N N N RALI TRUST 2007-QS8 N/A 74922UAA1 2306598.070000 PA USD 1673042.240000 0.0154598 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.85322 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL1 N/A 52475PAA9 180138.240000 PA USD 180478.410000 0.0016677 Long ABS-MBS CORP US N 2 2060-09-25 Variable 4.991 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-NINE N/A 46646GAA5 10000000.000000 PA USD 9619846.000000 0.0888923 Long ABS-MBS CORP US N 2 2038-09-06 Variable 2.8541 N N N N N N BBCMS TRUST 2018-CBM N/A 05549RAG2 9060000.000000 PA USD 8475035.660000 0.0783137 Long ABS-MBS CORP US N 2 2037-07-15 Floating 7.08611 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-22R N/A 02147LAH6 36607.670000 PA USD 20561.290000 0.00019 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140NW2Q7 10022000.000000 PA USD 9827632.830000 0.0908124 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.3 N N N N N N SCCU AUTO RECEIVABLES TRUST 2023-1A N/A 805922AE1 5100000.000000 PA USD 5168521.560000 0.0477598 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.7 N N N N N N FREMONT HOME LOAN TRUST 2005-B N/A 35729PJZ4 5331279.810000 PA USD 5123777.340000 0.0473463 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.38322 N N N N N N FREDDIE MAC REMICS 5071 N/A 3137F9R60 26815296.970000 PA USD 3214435.460000 0.029703 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-3R LTD 2014-3RA N/A 14315LAA2 1934266.510000 PA USD 1937102.760000 0.0178998 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 5.92882 N N N N N N FHLMC PASS THRU POOLS N/A 3133AKET3 923455.120000 PA USD 789225.860000 0.0072929 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2014-29 N/A 3136AJT97 18657.120000 PA USD 17706.030000 0.0001636 Long ABS-MBS USGSE US N 2 2044-01-25 Fixed 3.75 N N N N N N FNMA PASS THRU POOLS N/A 3140LLXU0 3053000.000000 PA USD 3080512.170000 0.0284655 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 4.9 N N N N N N FNMA PASS THRU POOLS N/A 3140Q77E1 893066.530000 PA USD 856518.240000 0.0079147 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 4 N N N N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAC0 5448876.120000 PA USD 2421126.920000 0.0223725 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.91322 N N N N N N GNMA PASS THRU POOLS N/A 36181GDE6 106981.090000 PA USD 96342.400000 0.0008903 Long ABS-MBS USGSE US N 2 2043-06-20 Fixed 3.5 N N N N N N AMSR-2021-SFR1 N/A 00179DAA4 4000000.000000 PA USD 3632478.400000 0.033566 Long ABS-MBS CORP US N 2 2038-06-17 Fixed 1.953 N N N N N N BAIN CAPITAL CREDIT CLO 2021-2 LTD N/A 05684RAQ5 5100000.000000 PA USD 5119211.500000 0.0473041 Long ABS-CBDO CORP KY N 2 2034-07-16 Floating 6.2973 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2024-RP4 N/A 17332EAS1 340000.000000 PA USD 340000.000000 0.0031418 Long ABS-MBS CORP US N 3 2064-09-25 Variable 0 N N N N N N N/A N/A 000000000 52700000.000000 NC USD 1017.110000 0.0000094 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 03/04/25-7Y LCH 2032-03-04 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2025-02-28 XXXX -531252.890000 N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAF0 10000000.000000 PA USD 9913411.000000 0.091605 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.64 N N N N N N FNMA PASS THRU POOLS N/A 3138EQ4S8 680213.420000 PA USD 631922.660000 0.0058393 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140YWQA4 7106970.830000 PA USD 7279303.500000 0.0672645 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 3344967.830000 PA USD 3336176.920000 0.030828 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 5.46121 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-4 N/A 073882AC6 130531.080000 PA USD 114253.870000 0.0010558 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.5352 N N N N N N FHLMC PASS THRU POOLS N/A 3133CSMT5 625285.170000 PA USD 653572.410000 0.0060393 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 7 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP2 N/A 12654QBH8 2244230.960000 PA USD 2238786.900000 0.0206875 Long ABS-MBS CORP US N 2 2050-06-01 Variable 7.15258 N N N N N N SANDSTONE PEAK LTD 2021-1A N/A 800130AN6 18500000.000000 PA USD 18566730.610000 0.171566 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.9359 N N N N N N FANNIE MAE REMICS 2016-83 N/A 3136AUDP3 970284.810000 PA USD 89489.170000 0.0008269 Long ABS-MBS USGSE US N 2 2045-07-25 Fixed 3.5 N N N N N N N/A N/A 000000000 332400000.000000 NC USD 372321.240000 0.0034404 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 12/31/25-1Y LCH 2026-12-31 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-12-29 XXXX -43178.760000 N N N GNMA PASS THRU POOLS N/A 21H052611 11500000.000000 PA USD 11406725.460000 0.105404 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QR6X6 1950270.970000 PA USD 1905554.790000 0.0176083 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 5 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 1832.160000 PA USD 1806.270000 0.0000167 Long ABS-MBS CORP US N 2 2035-05-25 Floating 7.41 N N N N N N N/A N/A 000000000 1.000000 NC USD 119000.280000 0.0010996 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 5500000.000000 USD 119000.280000 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTS2 4201676.100000 PA USD 3007634.120000 0.0277921 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133AJAU7 11038299.700000 PA USD 9472623.410000 0.0875319 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2023-66 N/A 3136BQA25 140979116.560000 PA USD 32712131.600000 0.302277 Long ABS-MBS USGSE US N 2 2053-09-25 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032419 16100000.000000 PA USD 15218095.450000 0.140623 Long ABS-MBS USGSE US N 2 2040-01-15 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2021-3 N/A 3136BDYC6 14812160.370000 PA USD 2412900.920000 0.0222964 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XVP2 5779046.010000 PA USD 1049852.940000 0.0097012 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2021-78 N/A 3136BJZL2 12446829.710000 PA USD 2394862.140000 0.0221298 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J9AX9 1655270.740000 PA USD 1584914.100000 0.0146454 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 1501411.460000 0.0138738 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 85582000.000000 GBP 108630345.170000 USD 2025-01-15 1501411.460000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-55 N/A 38379LZD1 307720.550000 PA USD 246750.030000 0.0022801 Long ABS-MBS USGSE US N 2 2042-12-20 Variable 0.12818 N N N N N N GNMA PASS THRU POOLS N/A 3617B4HP5 523970.470000 PA USD 489797.350000 0.004526 Long ABS-MBS USGSE US N 2 2047-08-15 Fixed 4 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB N/A 02147RAK6 942721.370000 PA USD 864581.840000 0.0079892 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6 N N N N N N FREDDIE MAC STRIPS 414 N/A 3142G9VS6 11170896.860000 PA USD 1375263.520000 0.0127081 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC USD 44813.080000 0.0004141 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 2100000.000000 USD 44813.080000 N N N FREDDIE MAC REMICS 5068 N/A 3137F8PA5 11411418.560000 PA USD 1340891.890000 0.0123905 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 3 N N N N N N FHR-5018 N/A 3137FXBF4 7242646.200000 PA USD 1275736.360000 0.0117885 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 3.5 N N N N N N COUNTRYWIDE HOME LOANS 2007-18 N/A 12544JAE6 4063838.490000 PA USD 1453754.500000 0.0134334 Long ABS-MBS CORP US N 2 2037-11-25 Fixed 6.5 N N N N N N FANNIE MAE REMICS 2019-80 N/A 3136B74R9 1711177.950000 PA USD 177380.880000 0.0016391 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 1.26673 N N N N N N N/A N/A 000000000 1.000000 NC USD -154471981.420000 -1.4274 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-03-19 0.000000 USD -128665416.000000 USD 3365300000.000000 USD -25806565.420000 N N N N/A N/A 000000000 -166500000.000000 NC USD -16.650000 -0.0000002 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.00000 01/15/25-10Y LCH 2035-01-15 0.000000 USD 0.000000 USD N/A USD N/A 2.000000 USD 2025-01-13 XXXX 1248733.350000 N N N OBX 2022-NQM8 TRUST N/A 67117YAA2 2916202.120000 PA USD 2919784.670000 0.0269803 Long ABS-MBS CORP US N 2 2062-09-25 Variable 6.1 N N N N N N N/A N/A 000000000 688800000.000000 NC USD 797768.160000 0.0073718 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.30800 05/16/25-1Y LCH 2026-05-16 0.000000 USD 0.000000 USD N/A USD N/A 4.310000 USD 2025-05-14 XXXX 256629.660000 N N N MASTR REPERFORMING LOAN TRUST 2005-1 N/A 576436AR0 775521.790000 PA USD 488143.120000 0.0045107 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 655657.090000 0.0060586 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-03-18 89675.840000 EUR 0.000000 EUR 4900000.000000 EUR 565981.250000 N N N FANNIE MAE INTEREST STRIP 329 N/A 3136FAWE6 348.090000 PA USD 303.780000 0.0000028 Long ABS-MBS USGSE US N 2 2033-01-25 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H15 N/A 38384AV34 9468432.960000 PA USD 9672443.600000 0.0893784 Long ABS-MBS USGSE US N 2 2073-06-20 Floating 5.7046 N N N N N N GNMA PASS THRU POOLS N/A 36202D3Y5 1180.960000 PA USD 1210.090000 0.0000112 Long ABS-MBS USGSE US N 2 2034-02-20 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A 38383KDE9 28781667.730000 PA USD 29099771.360000 0.268897 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 5.5046 N N N N N N FREDDIEMAC STRIP-209 N/A 3128CVC51 68046.150000 PA USD 59950.900000 0.000554 Long ABS-MBS USGSE US N 2 2030-09-15 None 0 N N N N N N 37 CAPITAL CLO I 2021-1A N/A 88430TAQ4 9400000.000000 PA USD 9431293.070000 0.08715 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.9359 N N N N N N WELLS FARGO MTGE BACKED SEC 2007-7 N/A 94985JBU3 8498.030000 PA USD 7330.870000 0.0000677 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.95322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23 N/A 38383KFR8 10585422.770000 PA USD 10722008.600000 0.0990769 Long ABS-MBS USGSE US N 2 2073-09-20 Floating 5.5846 N N N N N N MERX AVIATION FINANCE LLC 2018-1A N/A 56564RAA8 1190366.590000 PA USD 1182875.730000 0.0109304 Long ABS-O CORP BM N 2 2043-05-15 Fixed 4.212 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAN7 8200000.000000 PA USD 6969349.740000 0.0644004 Long ABS-MBS CORP US N 2 2038-12-15 Floating 7.58827 N N N N N N FREDDIE MAC STRIPS 367 N/A 31325X3J7 12847147.600000 PA USD 2260491.590000 0.0208881 Long ABS-MBS USGSE US N 2 2050-06-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMH32 302013.880000 PA USD 280296.480000 0.0025901 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FANNIE MAE INTEREST STRIP 22 N/A 31397VSM0 8464172.820000 PA USD 1531391.810000 0.0141508 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 3.5 N N N N N N ARGENT SECURITIES INC 2004-W3 N/A 040104FW6 298063.080000 PA USD 300742.850000 0.002779 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.27322 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL1 N/A 693989AA3 4033480.860000 PA USD 3822735.520000 0.035324 Long ABS-MBS CORP US N 2 2063-10-25 Variable 3.9 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMJA4 6632618.010000 PA USD 5651536.870000 0.0522231 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140AB7K5 4705694.030000 PA USD 4775495.750000 0.044128 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3133CMJ88 2390207.680000 PA USD 2502266.780000 0.0231222 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.5 N N N N N N FREDDIE MAC REMICS 3224 N/A 31397BY47 359626.800000 PA USD 28499.090000 0.0002633 Long ABS-MBS USGSE US N 2 2036-10-15 Floating 1.28795 N N N N N N FREDDIE MAC REMICS 4698 N/A 3137F1XH6 16236393.000000 PA USD 347173.050000 0.0032081 Long ABS-MBS USGSE US N 2 2047-07-15 Floating 0 N N N N N N FANNIE MAE REMICS 2020-75 N/A 3136BCJC5 39858294.950000 PA USD 6692869.370000 0.0618456 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.5 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2024-PT2 N/A 69544PAC6 1430000.000000 PA USD 1427295.410000 0.0131889 Long ABS-O CORP US N 3 2032-04-15 Fixed 5.823 N N N N N N GNMA PASS THRU POOLS N/A 36179TXW0 815357.870000 PA USD 782147.190000 0.0072274 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 4120 N/A 3137AVDC8 922754.940000 PA USD 535792.400000 0.004951 Long ABS-MBS USGSE US N 2 2042-10-15 Floating 0 N N N N N N N/A N/A 000000000 190000000.000000 NC USD 8915674.000000 0.0823854 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.66000 09/30/25-10Y LCH 2035-09-30 0.000000 USD 0.000000 USD N/A USD N/A 3.660000 USD 2025-09-26 XXXX 5291424.000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-79 N/A 38376LPM5 547405.180000 PA USD 476176.870000 0.0044001 Long ABS-MBS USGSE US N 2 2040-06-20 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3132JBDV2 54582.970000 PA USD 51404.550000 0.000475 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4 N N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAL5 29668.850000 PA USD 26094.270000 0.0002411 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.02034 N N N N N N FNMA PASS THRU POOLS N/A 3140AMHT1 3454058.490000 PA USD 3491550.080000 0.0322637 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140QCMJ2 14432.410000 PA USD 12458.320000 0.0001151 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140FPAV1 28983921.140000 PA USD 26892417.910000 0.2485 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N JP MORGAN MORTGAGE TRUST 2021-10 N/A 46654AAE9 65373153.360000 PA USD 1845274.930000 0.0170513 Long ABS-O CORP US N 2 2051-12-25 Variable 0.5 N N N N N N FREDDIE MAC REMICS 4851 N/A 3137FKAP1 1188336.240000 PA USD 934965.250000 0.0086396 Long ABS-MBS USGSE US N 2 2057-08-15 Fixed 0 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2 N/A 81376GAC4 2413229.660000 PA USD 1667088.970000 0.0154048 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.57322 N N N N N N COUNTRYWIDE HOME LOANS 2007-8 N/A 12545AAR5 255615.170000 PA USD 109081.930000 0.001008 Long ABS-MBS CORP US N 2 2038-01-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31418CZ72 4597912.440000 PA USD 4409081.970000 0.0407422 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202EVP1 3227.360000 PA USD 3355.330000 0.000031 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 6 N N N N N N BANC OF AMERICA FUNDING TRUST 2014-R2 N/A 05968KAG9 24673691.510000 PA USD 21754853.020000 0.201026 Long ABS-MBS CORP US N 2 2037-05-26 Floating 4.66226 N N N N N N MORGAN STANLEY REREMIC TRUST 2012-R1 N/A 61757SAB1 8723631.730000 PA USD 7870119.450000 0.072724 Long ABS-MBS CORP US N 2 2037-02-26 Floating 3.57385 N N N N N N FANNIE MAE REMICS 2019-29 N/A 3136B4UL0 1894207.600000 PA USD 200041.200000 0.0018485 Long ABS-MBS USGSE US N 2 2048-06-25 Variable 1.35149 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A N/A 02007GZ71 391298.460000 PA USD 397093.200000 0.0036693 Long ABS-O CORP US N 2 2032-05-17 Fixed 6.315 N N N N N N FANNIE MAE REMICS 2022-3 N/A 3136BLFD7 65773770.030000 PA USD 96259.910000 0.0008895 Long ABS-MBS USGSE US N 2 2052-02-25 Floating 0 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAD3 5045663.170000 PA USD 4857982.160000 0.0448903 Long ABS-O CORP US N 2 2053-01-15 Fixed 2.31 N N N N N N GCAT 2023-NQM4 TRUST N/A 36171FAA1 3921052.390000 PA USD 3633616.900000 0.0335765 Long ABS-MBS CORP US N 2 2067-05-25 Variable 4.25 N N N N N N FNMA PASS THRU POOLS N/A 3140FVYP5 843966.400000 PA USD 812342.630000 0.0075065 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-E N/A 78450XAA6 2395761.790000 PA USD 2384206.550000 0.0220313 Long ABS-O CORP US N 2 2056-10-16 Fixed 5.09 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-2 N/A 542514FX7 29113.430000 PA USD 29336.200000 0.0002711 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.24822 N N N N N N N/A N/A 000000000 -220700000.000000 NC USD -2450189.330000 -0.022641 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.13500 03/10/25-10Y LCH 2035-03-10 0.000000 USD 0.000000 USD N/A USD N/A 4.130000 USD 2025-03-06 XXXX -1423934.330000 N N N ANCHORAGE CAPITAL CLO 28 LTD N/A 03330RAA3 34000000.000000 PA USD 34243773.200000 0.31643 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 6.3174 N N N N N N HOME EQUITY PASS-THRU CERTS 2004-6 N/A 437084EV4 376148.880000 PA USD 375590.000000 0.0034706 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.42822 N N N N N N GNMA PASS THRU POOLS N/A 3617G44R0 73042.750000 PA USD 69151.720000 0.000639 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.5 N N N N N N FREDDIE MAC-2177 N/A 3133TLQB7 2313.580000 PA USD 2191.100000 0.0000202 Long ABS-MBS USGSE US N 2 2029-08-15 None 0 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC2 N/A 61744CNV4 6057598.050000 PA USD 4819160.900000 0.0445315 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.42822 N N N N N N N/A N/A 000000000 1.000000 NC USD -106505.820000 -0.0009842 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AA.06-1 N/A N/A Y Single Leg Swap 2045-07-25 0.000000 USD -492453.560000 USD 1427378.510000 USD 385947.740000 N N N FREDDIE MAC REMICS 4338 N/A 3137BB7D6 350431.620000 PA USD 21542.820000 0.0001991 Long ABS-MBS USGSE US N 2 2041-10-15 Floating 1.6991 N N N N N N FANNIE MAE REMICS 2018-24 N/A 3136B1LT9 2152243.240000 PA USD 254579.810000 0.0023524 Long ABS-MBS USGSE US N 2 2048-04-25 Floating 1.51673 N N N N N N N/A N/A 000000000 202100000.000000 NC USD 397591.330000 0.0036739 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/6.00000 11/05/25-10Y LCH 2035-11-05 0.000000 USD 0.000000 USD N/A USD N/A 6.000000 USD 2025-11-03 XXXX -940310.670000 N N N FHLMC PASS THRU POOLS N/A 3132DVK79 29747075.390000 PA USD 25766616.550000 0.238097 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3 N N N N N N FREDDIE MAC REMICS 3292 N/A 31397FRP9 351887.930000 PA USD 30420.960000 0.0002811 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 2.03795 N N N N N N GNMA PASS THRU POOLS N/A 36179TNQ4 6792347.980000 PA USD 5963731.380000 0.0551079 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-110 N/A 38380FUN4 5422851.500000 PA USD 249792.270000 0.0023082 Long ABS-MBS USGSE US N 2 2043-04-20 Floating 0 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 116902.010000 PA USD 99247.340000 0.0009171 Long ABS-MBS CORP US N 2 2047-01-20 Floating 5.09976 N N N N N N TESLA SUSTAINABLE ENERGY TRUST 2024-1A N/A 88164AAA2 1275368.890000 PA USD 1276214.710000 0.0117929 Long ABS-O CORP US N 2 2025-12-03 Fixed 4.83 N N N N N N N/A N/A 000000000 1.000000 NC USD 10382170.760000 0.0959366 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-04-09 3053000.000000 USD 0.000000 USD 142000000.000000 USD 7329170.760000 N N N FREDDIE MAC-3145 N/A 31396NCS3 37264.670000 PA USD 31788.680000 0.0002937 Long ABS-MBS USGSE US N 2 2036-04-15 None 0 N N N N N N GSAA HOME EQUITY TRUST 2005-5 N/A 36242DS38 900000.000000 PA USD 894662.820000 0.0082671 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.32822 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H14 N/A 38383KG48 28486932.870000 PA USD 28766805.590000 0.26582 Long ABS-MBS USGSE US N 2 2074-07-20 Floating 5.5046 N N N N N N FANNIE MAE REMICS 2016-59 N/A 3136ATPP3 1571428.000000 PA USD 404118.320000 0.0037343 Long ABS-MBS USGSE US N 2 2046-09-25 Fixed 3.5 N N N N N N RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1 N/A 76112BR28 6373314.480000 PA USD 5547097.750000 0.051258 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.13322 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAC5 733921.910000 PA USD 359201.570000 0.0033192 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.57322 N N N N N N N/A N/A 000000000 181400000.000000 NC USD 223321.540000 0.0020636 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 11/04/25-1Y LCH 2026-11-04 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2025-10-31 XXXX -20661.460000 N N N FANNIE MAE REMICS 2015-83 N/A 3136AQKF6 5397233.440000 PA USD 829460.330000 0.0076646 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202FG26 20232.340000 PA USD 21033.970000 0.0001944 Long ABS-MBS USGSE US N 2 2040-06-20 Fixed 6 N N N N N N FANNIE MAE REMICS 2014-81 N/A 3136ALZU8 4083322.000000 PA USD 3981221.390000 0.0367885 Long ABS-MBS USGSE US N 2 2034-01-25 Fixed 2.5 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LZ7 2193511.910000 PA USD 2021753.130000 0.018682 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.40322 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P3 N/A 14688GAD6 4270000.000000 PA USD 4359930.470000 0.040288 Long ABS-O CORP US N 2 2029-07-10 Fixed 5.71 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-165 N/A 38379FE39 780442.320000 PA USD 75031.960000 0.0006933 Long ABS-MBS USGSE US N 2 2042-11-20 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5274 N/A 3137H9F46 29714016.950000 PA USD 4963777.050000 0.0458679 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.5 N N N N N N FREDDIE MAC 4520 N/A 3137BLUL0 3273935.620000 PA USD 1793954.010000 0.0165771 Long ABS-MBS USGSE US N 2 2045-08-15 Floating 0 N N N N N N GNMA PASS THRU POOLS N/A 3617H6P42 299478.830000 PA USD 283708.530000 0.0026216 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB N/A 02147RAG5 1168249.010000 PA USD 1071416.120000 0.0099004 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31417Y2J5 23111.890000 PA USD 22938.410000 0.000212 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LLXM8 3732028.720000 PA USD 3811207.290000 0.0352175 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.57 N N N N N N N/A N/A 000000000 158000000.000000 NC USD 276816.000000 0.0025579 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% MAR 30YR N/A 98.070000 USD 2025-03-06 XXXX -68809.000000 N N N FANNIE MAE WHOLE LOAN 2007-W8 N/A 31396XVV3 1597924.140000 PA USD 84111.690000 0.0007772 Long ABS-MBS USGSE US N 2 2037-09-25 Floating 1.76673 N N N N N N N/A N/A 000000000 205200000.000000 NC USD 32257.440000 0.0002981 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.31500 02/05/25-7Y LCH 2032-02-05 0.000000 USD 0.000000 USD N/A USD N/A 3.310000 USD 2025-02-03 XXXX -858310.560000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-A N/A 78448YAK7 629982.010000 PA USD 622367.480000 0.005751 Long ABS-O CORP US N 2 2053-01-15 Floating 5.24157 N N N N N N FANNIE MAE REMICS 2015-19 N/A 3136ANJE8 7421235.980000 PA USD 1295220.150000 0.0119685 Long ABS-MBS USGSE US N 2 2045-04-25 Fixed 4 N N N N N N FREDDIE MAC REMICS 5080 N/A 3137FXV62 4680329.920000 PA USD 1000078.860000 0.0092412 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138LMSA2 23874000.000000 PA USD 22931839.330000 0.211902 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 3.29 N N N N N N FNMA PASS THRU POOLS N/A 3138WVRU7 19249.500000 PA USD 18073.380000 0.000167 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N WAMU COMMERCIAL MORTGAGE SECURITIES TRUST 2007-SL2 N/A 933632AH4 7369000.000000 PA USD 7387171.950000 0.0682613 Long ABS-MBS CORP US N 2 2049-12-27 Variable 7.00783 N N N N N N COUNTRYWIDE HOME LOANS 2007-15 N/A 17025TAR2 57685.260000 PA USD 34477.390000 0.0003186 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.25 N N N N N N FHLMC PASS THRU POOLS N/A 3132H3K51 166999.680000 PA USD 157016.480000 0.0014509 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 4990 N/A 3137FURT3 14440086.150000 PA USD 3172013.290000 0.029311 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 4 N N N N N N INDEPENDENCE PLAZA TRUST 2018-INDP N/A 45378YAA2 20320000.000000 PA USD 19872037.470000 0.183628 Long ABS-MBS CORP US N 2 2035-07-10 Fixed 3.763 N N N N N N N/A N/A 000000000 1.000000 NC USD 102083.870000 0.0009433 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 3700000.000000 USD 102083.870000 N N N FREDDIE MAC REMICS 4999 N/A 3137FV4Y5 13903159.010000 PA USD 1514482.230000 0.0139946 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.46673 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE6 N/A 07388UAC4 358899.240000 PA USD 358653.820000 0.0033141 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.93322 N N N N N N FANNIE MAE REMICS 2012-146 N/A 3136ABGH0 3026173.750000 PA USD 336393.110000 0.0031084 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179TT96 50984.630000 PA USD 44754.340000 0.0004136 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418CXT6 4078750.310000 PA USD 3911235.990000 0.0361418 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 4 N N N N N N CQS US CLO 2021-1 LTD N/A 12659UAL6 9000000.000000 PA USD 9015138.900000 0.0833045 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.8174 N N N N N N FANNIE MAE 2020-37 N/A 3136B9T56 2114374.160000 PA USD 420665.730000 0.0038872 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2020-89 N/A 3136BC5G1 52092927.740000 PA USD 8162524.200000 0.0754259 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 23210111.900000 0.214473 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-21 11060969.220000 USD 0.000000 USD 2349375000.000000 USD 12149142.680000 N N N UMBS PASS THRU POOLS N/A 01F042632 648750000.000000 PA USD 609827322.530000 5.63512 Long ABS-MBS USGSE US N 2 2055-03-13 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2012-42 N/A 3136A5GV2 24958.190000 PA USD 18497.190000 0.0001709 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 4 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-5 N/A 69544LAA9 2230863.730000 PA USD 2255555.820000 0.0208425 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.278 N N N N N N FNMA PASS THRU POOLS N/A 3140NVJY4 65600000.000000 PA USD 67119135.280000 0.620215 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 5.81 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-1 N/A 41161PCY7 60958.650000 PA USD 55840.850000 0.000516 Long ABS-MBS CORP US N 2 2034-04-19 Floating 6.49697 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR5 N/A 32051GXQ3 8591.990000 PA USD 6623.850000 0.0000612 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.38619 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 N/A 85573HAD2 6564000.000000 PA USD 5465819.170000 0.050507 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.175 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS5 N/A 52475XAA2 10231652.050000 PA USD 10212865.710000 0.0943721 Long ABS-MBS CORP US N 2 2067-07-25 Fixed 5.25 N N N N N N COUNTRYWIDE HOME LOANS 2005-31 N/A 126694UN6 36740.390000 PA USD 32103.810000 0.0002967 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.31096 N N N N N N MASTR REPERFORMING LOAN TR 2006-1 N/A 57643QBM6 2029307.760000 PA USD 1335908.320000 0.0123445 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 7 N N N N N N FANNIE MAE REMICS 2020-41 N/A 3136B9Z91 10004135.750000 PA USD 1103733.290000 0.0101991 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.41673 N N N N N N FANNIE MAE REMICS 2022-20 N/A 3136BL6W5 7299507.520000 PA USD 5731279.130000 0.05296 Long ABS-MBS USGSE US N 2 2050-05-25 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140QSNE7 15175689.230000 PA USD 14475801.010000 0.133764 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133ABKD1 1525731.360000 PA USD 1318460.770000 0.0121833 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133ALUE6 691325.310000 PA USD 596446.960000 0.0055115 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140H4UM4 427190.490000 PA USD 396314.170000 0.0036621 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2024-3 N/A 38012QAD0 14500000.000000 PA USD 14426395.100000 0.133307 Long ABS-O CORP US N 2 2027-10-20 Fixed 4.21 N N N N N N JP MORGAN SEASONED MORTGAGE TRUST 2024-1 N/A 61777HAE5 3000000.000000 PA USD 2804514.900000 0.0259152 Long ABS-MBS CORP US N 2 2054-10-25 Variable 4.50261 N N N N N N FNMA PASS THRU POOLS N/A 3140LLUJ8 6332000.000000 PA USD 6390171.830000 0.0590485 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 4.815 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZB8 4995000.000000 PA 6254802.600000 0.0577976 Long ABS-MBS CORP GB N 2 2066-05-16 Floating 6.20536 N N N N N N N/A N/A 000000000 1.000000 NC 803659.320000 0.0074262 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2050-03-18 111070.270000 EUR 0.000000 EUR 2000000.000000 EUR 692589.050000 N N N FREDDIE MAC REMICS 5052 N/A 3137F7HC2 31496096.000000 PA USD 5381073.360000 0.0497239 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132DPSJ8 11771118.930000 PA USD 10010544.100000 0.0925026 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAB9 8400000.000000 PA USD 8403618.720000 0.0776538 Long ABS-O CORP US N 2 2027-04-15 Fixed 4.79 N N N N N N FREDDIE MAC REMICS 3223 N/A 31397BZN4 824772.250000 PA USD 40505.880000 0.0003743 Long ABS-MBS USGSE US N 2 2032-04-15 Floating 1.73795 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2 N/A 81376GAE0 3856523.130000 PA USD 2664027.170000 0.024617 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.93322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H06 N/A 38381TC60 1184795.280000 PA USD 1121497.360000 0.0103632 Long ABS-MBS USGSE US N 2 2069-01-20 Variable 3.5 N N N N N N PIKES PEAK CLO 2018-2A N/A 72133JAY3 7900000.000000 PA USD 7921354.810000 0.0731974 Long ABS-CBDO CORP KY N 2 2034-10-11 Floating 5.85235 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-D N/A 83207QAB5 18981074.460000 PA USD 19115312.410000 0.176635 Long ABS-O CORP US N 2 2053-07-15 Floating 5.69824 N N N N N N JP MORGAN MORTGAGE TRUST SERIES 2024-CES2 N/A 46658QAN0 100183725.620000 PA USD 107747437.610000 0.995642 Long ABS-MBS CORP US N 3 2055-02-25 Fixed 9.60335 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AHG8 26108.390000 PA USD 25245.950000 0.0002333 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.387 N N N N N N GCAT 2021-NQM3 TRUST N/A 36167HAE5 9952000.000000 PA USD 7116703.070000 0.065762 Long ABS-MBS CORP US N 2 2066-05-25 Fixed 2.565 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RN1 N/A 74143PAA5 8434448.370000 PA USD 8469200.830000 0.0782598 Long ABS-MBS CORP US N 2 2054-03-25 Variable 7.1428 N N N N N N FANNIE MAE REMICS 2018-31 N/A 3136B1XV1 3084750.670000 PA USD 344441.720000 0.0031828 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 1.51673 N N N N N N FNMA PASS THRU POOLS N/A 3140QSNB3 1911052.600000 PA USD 1766435.340000 0.0163228 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2020-68 N/A 3136BB4P4 8519780.540000 PA USD 1075290.870000 0.0099362 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 2 N N N N N N SAXON ASSET SECURITIES TRUST-2006-2 N/A 80556XAG2 2454512.550000 PA USD 2301511.980000 0.0212672 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.88822 N N N N N N GNMA PASS THRU POOLS N/A 36179SLR6 524633.990000 PA USD 461829.280000 0.0042675 Long ABS-MBS USGSE US N 2 2046-09-20 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-110 N/A 38376GTH3 621940.800000 PA USD 1519.280000 0.000014 Long ABS-MBS USGSE US N 2 2050-05-16 Variable 0.29999 N N N N N N ARGENT SECURITIES INC 2005-W4 N/A 040104PT2 5453790.830000 PA USD 4293819.150000 0.0396771 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.21322 N N N N N N N/A N/A 000000000 186000000.000000 NC USD 326857.800000 0.0030203 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/6.00000 10/21/25-10Y LCH 2035-10-21 0.000000 USD 0.000000 USD N/A USD N/A 6.000000 USD 2025-10-17 XXXX -947242.200000 N N N FREDDIE MAC STRIPS 399 N/A 3142G4VZ1 145337129.140000 PA USD 18361631.290000 0.169671 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 2 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-101 N/A 38384CBD0 20211610.270000 PA USD 2267433.430000 0.0209523 Long ABS-MBS USGSE US N 2 2051-01-20 Fixed 2 N N N N N N PRPM 2023-NQM2 TRUST N/A 74390KAK4 6950991.590000 PA USD 7001236.830000 0.064695 Long ABS-MBS CORP US N 2 2068-08-25 Fixed 6.25 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2021-J3 N/A 17330BBK5 50232491.930000 PA USD 687677.790000 0.0063545 Long ABS-O CORP US N 2 2051-09-25 Variable 0.25 N N N N N N FANNIE MAE REMICS 2013-23 N/A 3136ADCC1 1155562.150000 PA USD 878448.520000 0.0081173 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 3 N N N N N N FANNIE MAE INTEREST STRIP 430 N/A 31424QKU8 9856262.820000 PA USD 1273484.650000 0.0117677 Long ABS-MBS USGSE US N 2 2052-04-25 Fixed 2 N N N N N N HARVEST COMMERCIAL CAPITAL LOAN TRUST 2019-1 N/A 41753CAA4 66344.250000 PA USD 66100.580000 0.0006108 Long ABS-MBS CORP US N 2 2046-09-25 Fixed 3.29 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH8 N/A 74924EAA5 5037552.530000 PA USD 4190389.340000 0.0387214 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.79107 N N N N N N FREDDIE MAC STRIPS 399 N/A 3142G4V32 25078028.620000 PA USD 3555964.650000 0.0328589 Long ABS-MBS USGSE US N 2 2052-07-25 Fixed 2.5 N N N N N N MARLETTE FUNDING TRUST 2023-4A N/A 57108UAA2 7527961.030000 PA USD 7644523.980000 0.0706393 Long ABS-O CORP US N 2 2033-12-15 Fixed 7.13 N N N N N N RCKT MORTGAGE TRUST 2024-CES9 N/A 749426AA0 12300000.000000 PA USD 12299851.170000 0.113657 Long ABS-MBS CORP US N 3 2044-12-25 Variable 5.582 N N N N N N GOLDENTREE LOAN MANAGEMENT US CLO 6 LTD 2019-6A N/A 38137WAQ8 1660000.000000 PA USD 1663445.730000 0.0153711 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 5.9374 N N N N N N N/A N/A 000000000 1.000000 NC USD 4282144.690000 0.0395692 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2054-12-18 0.000000 USD -612082.540000 USD 56600000.000000 USD 4894227.230000 N N N COUNTRYWIDE ASSET-BACKED CERT 2004-2 N/A 1266713X2 6091032.820000 PA USD 6018837.640000 0.0556172 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.15322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-61 N/A 38379WD66 2091869.770000 PA USD 379127.760000 0.0035033 Long ABS-MBS USGSE US N 2 2046-05-20 Fixed 3.5 N N N N N N ACHV ABS TRUST 2024-2PL N/A 00092HAA9 3005917.320000 PA USD 3014504.320000 0.0278556 Long ABS-O CORP US N 2 2031-10-27 Fixed 5.07 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-3 N/A 37989EAE6 500000.000000 PA USD 504024.500000 0.0046574 Long ABS-O CORP US N 2 2030-08-15 Fixed 5.64 N N N N N N FREDDIE MAC REMICS 4142 N/A 3137AX6D0 39363.350000 PA USD 1616.340000 0.0000149 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 3 N N N N N N N/A N/A 000000000 93000000.000000 NC USD 1999.500000 0.0000185 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 03/05/25-7Y LCH 2032-03-05 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2025-03-03 XXXX -900100.500000 N N N FREDDIE MAC REMICS 4181 N/A 3137B0KH6 1041307.320000 PA USD 57234.940000 0.0005289 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 3 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAC6 2515377.410000 PA USD 1268008.540000 0.0117171 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.67322 N N N N N N FNMA PASS THRU POOLS N/A 3138LT4G0 64483.960000 PA USD 61989.740000 0.0005728 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.5 N N N N N N STRUCTURED ASSET SECURITIES CRP 2003-26A N/A 86359AS95 26777.520000 PA USD 25787.730000 0.0002383 Long ABS-MBS CORP US N 2 2033-09-25 Floating 6.41877 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 N/A 36256BAC4 1207584.460000 PA USD 1175021.100000 0.0108578 Long ABS-MBS CORP US N 2 2057-10-25 Fixed 3.75 N N N N N N GNMA PASS THRU POOLS N/A 21H022614 34500000.000000 PA USD 28815586.110000 0.266271 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 2.5 N N N N N N AMERICAN HOME MORTGAGE INVT TR 2006-1 N/A 02660TJB0 3789455.320000 PA USD 3287101.250000 0.0303745 Long ABS-MBS CORP US N 2 2046-03-25 Floating 4.85322 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-6R N/A 12643PAW2 5697977.840000 PA USD 4451401.600000 0.0411332 Long ABS-MBS CORP US N 2 2048-05-26 Fixed 6.25 N N N N N N GSAA HOME EQUITY TRUST 2005-6 N/A 36242D3Y7 5440000.000000 PA USD 5291262.780000 0.048894 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.17322 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2024-INV2 N/A 17331WBB8 64000380.100000 PA USD 64719149.170000 0.598038 Long ABS-MBS CORP US N 2 2054-06-25 Variable 6.5 N N N N N N FNMA PASS THRU POOLS N/A 31418BXN1 13011.680000 PA USD 12087.680000 0.0001117 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179WQB7 1271692.010000 PA USD 1104692.770000 0.0102079 Long ABS-MBS USGSE US N 2 2051-10-20 Fixed 3 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2022-P3 N/A 14686MAD5 2000000.000000 PA USD 2003152.200000 0.0185102 Long ABS-O CORP US N 2 2028-06-12 Fixed 4.85 N N N N N N GNMA PASS THRU POOLS N/A 36202EZH5 2676.450000 PA USD 2782.600000 0.0000257 Long ABS-MBS USGSE US N 2 2039-01-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36196JWZ5 489873.180000 PA USD 444404.970000 0.0041065 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.5 N N N N N N FREDDIE MAC-1958 N/A 3133TA3Z3 12864.770000 PA USD 12476.940000 0.0001153 Long ABS-MBS USGSE US N 2 2026-10-15 None 0 N N N N N N J.P. MORGAN MORTGAGE TRUST 2023-DSC1 N/A 46656NAA7 4212941.640000 PA USD 4092207.580000 0.0378141 Long ABS-MBS CORP US N 2 2063-07-25 Variable 4.625 N N N N N N FNMA PASS THRU POOLS N/A 3140H2Z92 2461842.270000 PA USD 2294774.000000 0.0212049 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FANNIE MAE 2008-29 N/A 31396YF98 268282.620000 PA USD 20379.230000 0.0001883 Long ABS-MBS USGSE US N 2 2038-04-25 Floating 2.21673 N N N N N N TROPIC CDO CORP 2006-5A N/A 89708BAB9 8960823.080000 PA USD 8579988.100000 0.0792835 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 5.23751 N N N N N N FNMA PASS THRU POOLS N/A 3140FM7B6 220629.640000 PA USD 204845.870000 0.0018929 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2019-10 N/A 3136B3N30 2953063.020000 PA USD 248629.890000 0.0022975 Long ABS-MBS USGSE US N 2 2049-03-25 Floating 1.36673 N N N N N N FREDDIE MAC REMICS 4840 N/A 3137FJRD3 1736975.000000 PA USD 1119550.390000 0.0103452 Long ABS-MBS USGSE US N 2 2053-12-15 None 0 N N N N N N N/A N/A 000000000 426200000.000000 NC USD 330305.000000 0.0030522 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 10/28/25-1Y LCH 2026-10-28 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-10-24 XXXX -8524.000000 N N N COLT 2022-5 MORTGAGE LOAN TRUST N/A 19688LAA0 26557877.910000 PA USD 25933881.980000 0.239642 Long ABS-MBS CORP US N 2 2067-04-25 Fixed 4.55 N N N N N N FNMA PASS THRU POOLS N/A 3140NJWH3 1302525.920000 PA USD 1272292.830000 0.0117566 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140QSN80 9976462.340000 PA USD 9488716.490000 0.0876806 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133W9FG1 2722599.260000 PA USD 2762979.220000 0.0255313 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 21H040616 380200000.000000 PA USD 350216682.810000 3.23618 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 4 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-2 N/A 68389FHC1 2090464.530000 PA USD 1997030.590000 0.0184536 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.18822 N N N N N N JP MORGAN MORTGAGE TRUST 2022-INV1 N/A 465973BV6 28947135.980000 PA USD 234839.430000 0.00217 Long ABS-O CORP US N 2 2052-03-25 Variable 0.15 N N N N N N N/A N/A 000000000 169600000.000000 NC USD 211355.520000 0.001953 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 08/26/25-10Y LCH 2035-08-26 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2025-08-22 XXXX -1891684.480000 N N N FHLMC PASS THRU POOLS N/A 3128M5NM8 1393.760000 PA USD 1403.730000 0.000013 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.5 N N N N N N DROP MORTGAGE TRUST 2021-FILE N/A 26210YAG1 5500000.000000 PA USD 5018800.600000 0.0463763 Long ABS-MBS CORP US N 2 2043-10-15 Floating 6.21148 N N N N N N UMBS PASS THRU POOLS N/A 01F032625 -834710000.000000 PA USD -738231530.430000 -6.82164 Short ABS-MBS USGSE US N 2 2055-02-15 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4121 N/A 3137AV7B7 5854006.410000 PA USD 685898.710000 0.0063381 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.5 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 16006250.470000 PA USD 8074064.940000 0.0746085 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.59322 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2025-SJ1 N/A 958JAKII8 107200000.000000 PA USD 99860050.300000 0.922758 Long ABS-MBS CORP US N 3 2079-08-01 Fixed 5.5 N N N N N N FANNIE MAE 2009-11 N/A 31397NNF8 3913.090000 PA USD 4105.920000 0.0000379 Long ABS-MBS USGSE US N 2 2049-03-25 Fixed 7 N N N N N N N/A N/A 000000000 287100000.000000 NC USD 634261.320000 0.0058609 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.95000 07/15/25-7Y LCH 2032-07-15 0.000000 USD 0.000000 USD N/A USD N/A 2.950000 USD 2025-07-11 XXXX -2121898.680000 N N N FREDDIE MAC REMICS 3607 N/A 31398LQM3 26981.170000 PA USD 23070.590000 0.0002132 Long ABS-MBS USGSE US N 2 2036-04-15 None 0 N N N N N N FREDDIE MAC REMICS 3423 N/A 31397RVR4 367619.390000 PA USD 316133.040000 0.0029212 Long ABS-MBS USGSE US N 2 2038-03-15 None 0 N N N N N N LONG BEACH MORTGAGE LOAD TR 2005-WL3 N/A 542514PS7 7754917.810000 PA USD 7158066.760000 0.0661442 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.15822 N N N N N N HSI ASSET SEC CORP TRUST 2006-WMC1 N/A 40430MAC1 6631841.430000 PA USD 2847692.150000 0.0263141 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.65322 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAC2 1088000.000000 PA USD 1089656.770000 0.010069 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.45 N N N N N N FHLMC PASS THRU POOLS N/A 3132D9BT0 32716456.650000 PA USD 29647470.460000 0.273958 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 3 N N N N N N N/A N/A 000000000 58100000.000000 NC USD 43505.280000 0.000402 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 04/21/25-10Y LCH 2035-04-21 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2025-04-16 XXXX -546209.720000 N N N FNMA PASS THRU POOLS N/A 31418ESK7 191199.780000 PA USD 184255.690000 0.0017026 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION H03 N/A 38382YR47 20526663.020000 PA USD 20407583.740000 0.188577 Long ABS-MBS USGSE US N 2 2073-02-20 Floating 5.3946 N N N N N N N/A N/A 000000000 -80500000.000000 NC USD -1168690.950000 -0.0107993 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.92500 03/12/25-7Y LCH 2032-03-12 0.000000 USD 0.000000 USD N/A USD N/A 3.920000 USD 2025-03-10 XXXX -729160.950000 N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAC6 4400000.000000 PA USD 4454871.520000 0.0411653 Long ABS-O CORP US N 2 2028-07-10 Fixed 5.71 N N N N N N JP MORGAN MORTGAGE TRUST 2024-6 N/A 46657YAP9 75579028.000000 PA USD 75670357.700000 0.699233 Long ABS-MBS CORP US N 2 2054-12-25 Floating 5.81879 N N N N N N FANNIE MAE REMICS 2010-103 N/A 31398TW56 57685.770000 PA USD 1462.100000 0.0000135 Long ABS-MBS USGSE US N 2 2040-08-25 Floating 2.01673 N N N N N N FNMA PASS THRU POOLS N/A 3140LNUD7 551641.560000 PA USD 473773.740000 0.0043779 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36202FPG5 7302480.730000 PA USD 7089920.340000 0.0655145 Long ABS-MBS USGSE US N 2 2041-01-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140HEGA4 400284.610000 PA USD 392981.210000 0.0036313 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 5 N N N N N N TOWD POINT MORTGAGE TRUST 2017-1 N/A 89173FAD2 6020000.000000 PA USD 5700577.600000 0.0526763 Long ABS-MBS CORP US N 2 2056-10-25 Variable 3.75 N N N N N N FREDDIE MAC REMICS 5179 N/A 3137H4YX2 32873047.290000 PA USD 4821650.920000 0.0445545 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 3617ALXP0 356471.670000 PA USD 333223.920000 0.0030792 Long ABS-MBS USGSE US N 2 2047-05-15 Fixed 4 N N N N N N HOME EQUITY LOAN TRUST 2007-FRE1 N/A 43710XAE8 600000.000000 PA USD 518587.860000 0.004792 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.79322 N N N N N N FHLMC PASS THRU POOLS N/A 3132JASY2 13678.710000 PA USD 12881.770000 0.000119 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-158 N/A 38377RCR4 1133378.880000 PA USD 945192.990000 0.0087341 Long ABS-MBS USGSE US N 2 2040-12-20 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36202ETU3 2882.650000 PA USD 2873.900000 0.0000266 Long ABS-MBS USGSE US N 2 2038-06-20 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3128M9PU0 14051.910000 PA USD 14727.990000 0.0001361 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 7 N N N N N N WASHINGTON MUTUAL 2004-AR12 N/A 92922FZF8 1479523.910000 PA USD 1422299.920000 0.0131428 Long ABS-MBS CORP US N 2 2044-10-25 Floating 5.23322 N N N N N N FREDDIE MAC-4110 N/A 3137AU5Y1 206380.540000 PA USD 4790.810000 0.0000443 Long ABS-MBS USGSE US N 2 2027-09-15 Fixed 2.5 N N N N N N BAIN CAPITAL CREDIT CLO 2021-2 LTD N/A 05684RAL6 13200000.000000 PA USD 13235914.160000 0.122307 Long ABS-CBDO CORP KY N 2 2034-07-16 Floating 5.8773 N N N N N N PAGAYA AI DEBT TRUST 2022-3 N/A 69547MAD8 478258.780000 PA USD 481273.290000 0.0044472 Long ABS-O CORP US N 2 2030-03-15 Variable 8.05 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XLU2 585707.650000 PA USD 95559.540000 0.000883 Long ABS-MBS USGSE US N 2 2046-09-15 Variable 5 N N N N N N FNMA PASS THRU POOLS N/A 3138E2GX7 181822.330000 PA USD 175229.430000 0.0016192 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.5 N N N N N N LYRA MUSIC ASSETS DELAWARE LP 2024-2A N/A 552339AA1 27959871.100000 PA USD 27295002.140000 0.25222 Long ABS-O CORP US N 2 2064-12-22 Fixed 5.76 N N N N N N PRKCM 2023-AFC3 TRUST N/A 693984AA4 7213168.250000 PA USD 7286507.420000 0.0673311 Long ABS-MBS CORP US N 2 2058-09-25 Variable 6.584 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-143 N/A 38382AZF5 7434542.690000 PA USD 785142.720000 0.0072551 Long ABS-MBS USGSE US N 2 2046-04-20 Floating 1.56526 N N N N N N MORGAN STANLEY MTGE LN TR 2007-6XS N/A 61751JAM3 2013606.930000 PA USD 697446.790000 0.0064448 Long ABS-MBS CORP US N 2 2047-02-25 Variable 6.20097 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAC4 15000000.000000 PA USD 14652090.750000 0.135393 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 6.08969 N N N N N N CASCADE FUNDING MORTGAGE TRUST 2024-RM5 N/A 147275AA9 15130725.620000 PA USD 14686110.760000 0.135707 Long ABS-MBS CORP US N 2 2054-10-25 Variable 4 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY3 N/A 02148DAA8 47326.180000 PA USD 36861.380000 0.0003406 Long ABS-MBS CORP US N 2 2047-03-25 Floating 6.72016 N N N N N N FNMA PASS THRU POOLS N/A 3140JAAA6 4837069.340000 PA USD 4505763.030000 0.0416356 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-128 N/A 38381AAH9 346828.230000 PA USD 340095.430000 0.0031427 Long ABS-MBS USGSE US N 2 2041-03-20 Floating 4.73474 N N N N N N NORTHWOODS CAPITAL XII-B LTD 2018-12BA N/A 66858CAN7 11982147.710000 PA USD 12006047.540000 0.110942 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 5.54857 N N N N N N FNMA PASS THRU POOLS N/A 3140LLMR9 7368000.000000 PA USD 7201315.730000 0.0665439 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.58 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-9 N/A 54251WAD4 18433132.740000 PA USD 5866525.140000 0.0542097 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.77322 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-7 N/A 69545AAA2 3111229.020000 PA USD 3145483.030000 0.0290659 Long ABS-O CORP US N 2 2031-12-15 Fixed 6.117 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-D N/A 63941CAC7 1186060.530000 PA USD 1187413.830000 0.0109723 Long ABS-O CORP US N 2 2059-12-15 Floating 5.56157 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-162 N/A 38380HXB3 5607593.760000 PA USD 55180.970000 0.0005099 Long ABS-MBS USGSE US N 2 2047-10-20 Floating 0 N N N N N N FNMA PASS THRU POOLS N/A 3140LLGW5 1083393.600000 PA USD 1095984.720000 0.0101275 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.11 N N N N N N FNMA PASS THRU POOLS N/A 31418UE83 77560.610000 PA USD 76767.020000 0.0007094 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.5 N N N N N N PREFERRED TERM SECURITIES XXVI LTD / PREFERRED TERM SECURITIES XXVI INC N/A 74042QAA5 2275110.150000 PA USD 2047599.140000 0.0189209 Long DBT CORP KY N 2 2037-09-22 Floating 4.92018 N N N N N N FNMA PASS THRU POOLS N/A 3140J5UX5 1964047.870000 PA USD 1883899.480000 0.0174082 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H01 N/A 38380QUG5 4824137.580000 PA USD 4752677.150000 0.0439172 Long ABS-MBS USGSE US N 2 2070-11-20 Floating 5.16648 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 1303952.170000 PA USD 946547.620000 0.0087466 Long ABS-MBS CORP US N 2 2036-01-26 Floating 5.51382 N N N N N N CHASEFLEX TRUST 2007-2 N/A 16165WAB2 837802.190000 PA USD 792937.130000 0.0073271 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.13322 N N N N N N FREDDIE MAC REMICS 5003 N/A 3137FVJG8 6107769.520000 PA USD 696422.540000 0.0064353 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 1.41673 N N N N N N FNMA PASS THRU POOLS N/A 3140AMGW5 560869.020000 PA USD 542999.380000 0.0050176 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-14T2 N/A 02150BAA7 12166524.590000 PA USD 6304879.190000 0.0582603 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140X5KC6 753938.550000 PA USD 772754.040000 0.0071406 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 36179SSP3 5776130.650000 PA USD 5083730.390000 0.0469763 Long ABS-MBS USGSE US N 2 2046-12-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 21H042612 376316000.000000 PA USD 355736218.750000 3.28719 Long ABS-MBS USGSE US N 2 2055-01-21 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QCB96 26134200.410000 PA USD 23674135.860000 0.218761 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.5 N N N N N N WAMU MTGE P/T CERT 2007-HY3 N/A 933634AF4 3344863.630000 PA USD 2921970.510000 0.0270005 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.07886 N N N N N N FANNIE MAE REMICS 2019-33 N/A 3136B46U7 3638361.840000 PA USD 3572347.400000 0.0330103 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 5.15327 N N N N N N FANNIE MAE REMICS 2021-25 N/A 3136BHEL9 54457793.270000 PA USD 10539548.920000 0.0973909 Long ABS-MBS USGSE US N 2 2051-05-25 Fixed 3.5 N N N N N N START IRELAND 2019-1 N/A 85573LAA9 2819407.580000 PA USD 2775036.870000 0.0256428 Long ABS-O CORP BM N 2 2044-03-15 Fixed 4.089 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-15 N/A 126673UA8 5174490.450000 PA USD 4283180.850000 0.0395788 Long ABS-MBS CORP US N 2 2035-02-25 Variable 5.541 N N N N N N FANNIE MAE REMICS 2020-85 N/A 3136BCU99 9366582.880000 PA USD 1289917.090000 0.0119195 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.5 N N N N N N FANNIE MAE 2006-30 N/A 31395B6Q1 679277.100000 PA USD 73210.110000 0.0006765 Long ABS-MBS USGSE US N 2 2036-05-25 Floating 1.96673 N N N N N N FHLMC PASS THRU POOLS N/A 3132WLUW4 1627530.630000 PA USD 1520926.820000 0.0140541 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-GS1 N/A 52474JAA4 4752294.000000 PA USD 4757318.130000 0.0439601 Long ABS-MBS CORP US N 2 2066-10-25 Fixed 4.892 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-SA2 N/A 74958XAF1 117043.470000 PA USD 100834.590000 0.0009318 Long ABS-MBS CORP US N 2 2037-04-25 Floating 6.12608 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAC4 13060000.000000 PA USD 13023685.360000 0.120346 Long ABS-O CORP US N 2 2029-01-10 Fixed 4.53 N N N N N N PRET 2021-NPL5 LLC N/A 74143KAA6 5604571.520000 PA USD 5608407.290000 0.0518246 Long ABS-MBS CORP US N 2 2051-10-25 Variable 5.487 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAL4 5372823.780000 PA USD 5408037.270000 0.049973 Long ABS-MBS CORP US N 2 2038-07-15 Floating 7.36148 N N N N N N FNMA PASS THRU POOLS N/A 31418CWV2 4074281.600000 PA USD 3723799.270000 0.0344098 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QK6F0 23875624.390000 PA USD 21296141.560000 0.196787 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31417YYC5 19313.190000 PA USD 19179.370000 0.0001772 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.5 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP2 N/A 36298XAA0 4405321.490000 PA USD 3753444.920000 0.0346838 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.85322 N N N N N N HILTON USA TRUST 2016-SFP N/A 43289VAA1 1000000.000000 PA USD 781500.000000 0.0072215 Long ABS-MBS CORP US N 2 2035-11-05 Fixed 2.82844 N N N N N N N/A N/A 000000000 218100000.000000 NC USD 67305.660000 0.0006219 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.35700 02/11/25-7Y LCH 2032-02-11 0.000000 USD 0.000000 USD N/A USD N/A 3.360000 USD 2025-02-07 XXXX -652424.340000 N N N FANNIE MAE REMICS 2012-46 N/A 3136A5J64 2104822.420000 PA USD 2021288.330000 0.0186777 Long ABS-MBS USGSE US N 2 2041-01-25 Floating 1.83764 N N N N N N UMBS PASS THRU POOLS N/A 01F050619 -171320000.000000 PA USD -165363347.510000 -1.52804 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWKJ1 285511.380000 PA USD 291577.720000 0.0026943 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.5 N N N N N N SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3 N/A 84751XAC6 879949.730000 PA USD 596363.400000 0.0055107 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.75322 N N N N N N N/A N/A 000000000 -103500000.000000 NC USD -830939.400000 -0.0076783 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% FEB 30YR N/A 96.530000 USD 2025-02-06 XXXX -620705.020000 N N N FANNIE MAE INTEREST STRIP 377 N/A 3136FC5M4 20027.070000 PA USD 16505.970000 0.0001525 Long ABS-MBS USGSE US N 2 2036-10-25 None 0 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P1 N/A 14688EAC3 3738787.930000 PA USD 3766088.560000 0.0348006 Long ABS-O CORP US N 2 2027-12-10 Fixed 5.98 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1 N/A 07387AAB1 115002.060000 PA USD 104171.050000 0.0009626 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.87496 N N N N N N MF1 2024-FL14 LLC N/A 55416AAA7 9500000.000000 PA USD 9528472.640000 0.088048 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 6.10335 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-9 N/A 12666RAV2 7205332.450000 PA USD 7023950.450000 0.0649049 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.93322 N N N N N N FANNIE MAE REMICS 2006-124 N/A 31396PFL0 129795.100000 PA USD 104998.950000 0.0009702 Long ABS-MBS USGSE US N 2 2037-01-25 None 0 N N N N N N GS MORTGAGE SECURITIES TRUST 2015-590M N/A 36250WAL4 11300000.000000 PA USD 10275617.710000 0.094952 Long ABS-MBS CORP US N 2 2035-10-10 Variable 3.8054 N N N N N N FANNIE MAE REMICS 2021-42 N/A 3136BGAW1 15750566.000000 PA USD 2116016.090000 0.0195531 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2 N N N N N N ATLX 2024-RPL1 TRUST N/A 049915AA9 193773.140000 PA USD 185169.360000 0.0017111 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 3.85 N N N N N N FREDDIE MAC 4660 N/A 3137BVKJ4 5149006.300000 PA USD 4236563.250000 0.039148 Long ABS-MBS USGSE US N 2 2033-01-15 Floating 0 N N N N N N PAGAYA AI DEBT TRUST 2023-7 N/A 69548RAC8 2998882.500000 PA USD 3072449.890000 0.028391 Long ABS-O CORP US N 2 2031-07-15 Fixed 8.798 N N N N N N N/A N/A 000000000 66500000.000000 NC USD 56704.550000 0.000524 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 04/24/25-10Y LCH 2035-04-24 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2025-04-22 XXXX -604970.450000 N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HYW5 524916.440000 PA USD 491026.210000 0.0045373 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.95322 N N N N N N FANNIE MAE REMICS 2012-60 N/A 3136A6MK7 1121025.000000 PA USD 993476.790000 0.0091802 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2017-26 N/A 3136AWDP9 4968202.720000 PA USD 575766.500000 0.0053204 Long ABS-MBS USGSE US N 2 2047-04-25 Floating 1.41673 N N N N N N FNMA PASS THRU POOLS N/A 3138W9FH8 390626.530000 PA USD 377415.810000 0.0034875 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4 N N N N N N AREIT TRUST 2023-CRE8 N/A 04002BAA3 8972278.690000 PA USD 9012369.070000 0.0832789 Long ABS-MBS CORP BM N 2 2041-08-17 Floating 6.49362 N N N N N N FANNIE MAE REMICS 2021-4 N/A 3136BDD39 18692107.110000 PA USD 2897809.330000 0.0267772 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N JP MORGAN MORTGAGE TRUST 2021-14 N/A 46653QBD6 20994715.310000 PA USD 19616966.510000 0.181271 Long ABS-MBS CORP US N 2 2052-05-25 Floating 5 N N N N N N FHLMC PASS THRU POOLS N/A 31329N6Q6 4995064.700000 PA USD 4634090.800000 0.0428214 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4 N N N N N N N/A N/A 000000000 236100000.000000 NC USD 2540695.710000 0.0234773 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US IRS USD R 3.40000 05/21/27-1Y (GRN) CME N/A N/A 2028-05-21 0.000000 USD 0.000000 USD N/A USD N/A 3.400000 USD 2027-05-19 XXXX 1206730.710000 N N N FANNIE MAE 2011-98 N/A 3136A1GP4 122585.050000 PA USD 1564.980000 0.0000145 Long ABS-MBS USGSE US N 2 2026-10-25 Floating 2.01673 N N N N N N COUNTRYWIDE HOME LOANS 2003-R4 N/A 12669FFS7 2555368.490000 PA USD 2221443.160000 0.0205273 Long ABS-MBS CORP US N 2 2034-01-25 Variable 4.72775 N N N N N N FNMA PASS THRU POOLS N/A 31418EZN3 55906036.190000 PA USD 57103836.430000 0.527669 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.5 N N N N N N COUNTRYWIDE ALT LOAN TR 2004-2CB N/A 12667FAQ8 2819287.700000 PA USD 2812793.470000 0.0259917 Long ABS-MBS CORP US N 2 2034-03-25 Fixed 5.75 N N N N N N GNMA PASS THRU POOLS N/A 36179RMD8 409380.980000 PA USD 414831.790000 0.0038333 Long ABS-MBS USGSE US N 2 2045-08-20 Floating 4.625 N N N N N N FANNIE MAE REMICS 2015-10 N/A 3136AMZT9 1275778.790000 PA USD 70207.000000 0.0006487 Long ABS-MBS USGSE US N 2 2045-03-25 Floating 1.50106 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 5358995.450000 PA 5551354.310000 0.0512974 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 3.884 N N N N N N STRUCTURED ARM LOAN TRUST 2005-16XS N/A 863579WV6 4820859.570000 PA USD 4211335.640000 0.0389149 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.42822 N N N N N N N/A N/A 000000000 1.000000 NC USD 96315.310000 0.00089 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 3900000.000000 USD 96315.310000 N N N AVON FINANCE 4A N/A ACI2JTXR2 16301751.590000 PA 20423464.980000 0.188723 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 5.60182 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P4 N/A 14076LAB9 5745000.000000 PA USD 5751383.840000 0.0531457 Long ABS-O CORP US N 2 2028-02-10 Fixed 4.62 N N N N N N FREDDIEMAC STRIP-208 N/A 3128CVBL7 61795.990000 PA USD 56527.250000 0.0005223 Long ABS-MBS USGSE US N 2 2030-06-15 None 0 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS4 N/A 76110WU95 3438795.060000 PA USD 3402449.750000 0.0314404 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.45822 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 5750369.120000 PA 5935781.230000 0.0548497 Long ABS-CBDO CORP IE N 2 2033-04-15 Floating 3.839 N N N N N N FNMA PASS THRU POOLS N/A 31418E5R7 1898061.750000 PA USD 1939090.710000 0.0179182 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.5 N N N N N N AFFIRM ASSET SECURITIZATION TRUST 2024-X2 N/A 00833QAA3 10400000.000000 PA USD 10416713.840000 0.0962558 Long ABS-O CORP US N 2 2029-12-17 Fixed 5.22 N N N N N N FANNIE MAE REMICS 2024-10 N/A 3136BQ6A2 2241330.060000 PA USD 2239049.730000 0.02069 Long ABS-MBS USGSE US N 2 2050-12-25 Floating 5.75448 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAA6 16524498.950000 PA USD 14340667.440000 0.132515 Long ABS-MBS CORP US N 2 2060-01-25 Variable 0 N N N N N N GNMA PASS THRU POOLS N/A 36202FLP9 1524185.250000 PA USD 1479818.230000 0.0136743 Long ABS-MBS USGSE US N 2 2040-10-20 Fixed 4.5 N N N N N N MASTR ASSET BACKED SECURITIES 2005-HE1 N/A 57643LJK3 3080000.000000 PA USD 3020418.020000 0.0279102 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.50322 N N N N N N TCI-SYMPHONY CLO LTD 2016-1A N/A 87229WAS0 18530000.000000 PA USD 18579609.260000 0.171685 Long ABS-CBDO CORP KY N 2 2032-10-13 Floating 6.46751 N N N N N N BALLYROCK CLO 16 LTD 2021-16A N/A 05876KAA3 8750000.000000 PA USD 8762588.010000 0.0809708 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 6.00901 N N N N N N GNMA PASS THRU POOLS N/A 3617ALZA1 175777.450000 PA USD 164313.470000 0.0015183 Long ABS-MBS USGSE US N 2 2047-06-15 Fixed 4 N N N N N N FANNIE MAE 2005-35 N/A 31394CV90 34358.650000 PA USD 34481.740000 0.0003186 Long ABS-MBS USGSE US N 2 2035-04-25 Fixed 5 N N N N N N UMBS PASS THRU POOLS N/A 01F030629 -1786480000.000000 PA USD -1517670605.360000 -14.0241 Short ABS-MBS USGSE US N 2 2055-02-13 Fixed 3 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7 N/A 232422AE5 1726598.550000 PA USD 1677792.270000 0.0155037 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.95322 N N N N N N GNMA PASS THRU POOLS N/A 36179WZA9 107284491.640000 PA USD 93132876.510000 0.860596 Long ABS-MBS USGSE US N 2 2052-03-20 Fixed 3 N N N N N N PRPM 2024-RPL1 LLC N/A 69380XAA0 2320593.260000 PA USD 2256546.970000 0.0208517 Long ABS-MBS CORP US N 2 2064-12-25 Variable 4.2 N N N N N N FREDDIE MAC REMICS 3077 N/A 31396FZ71 292.320000 PA USD 291.500000 0.0000027 Long ABS-MBS USGSE US N 2 2035-04-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWHU0 6631651.300000 PA USD 6677118.960000 0.0617 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140QHKU8 66471097.960000 PA USD 57036955.400000 0.527051 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 3 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7 N/A 36273CAH0 310338.100000 PA USD 311026.580000 0.002874 Long ABS-MBS CORP US N 3 2064-07-25 Fixed 0 N N N N N N VERUS SECURITIZATION TRUST 2023-INV2 N/A 92540BAA7 4458685.870000 PA USD 4507375.610000 0.0416505 Long ABS-MBS CORP US N 2 2068-08-25 Fixed 6.443 N N N N N N FANNIE MAE REMICS 2013-34 N/A 3136ADQR3 553495.790000 PA USD 40202.000000 0.0003715 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 1.46673 N N N N N N OBX 2023-NQM9 TRUST N/A 673921AA0 10835607.500000 PA USD 11050811.330000 0.102115 Long ABS-MBS CORP US N 2 2063-10-25 Fixed 7.159 N N N N N N FANNIE MAE REMICS 2019-19 N/A 3136B4SV1 11929348.800000 PA USD 1234551.610000 0.0114079 Long ABS-MBS USGSE US N 2 2049-05-25 Floating 1.31673 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAF1 1450000.000000 PA USD 1448185.330000 0.013382 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.55 N N N N N N FANNIE MAE 2009-68 N/A 31396QD71 50604.650000 PA USD 4214.840000 0.0000389 Long ABS-MBS USGSE US N 2 2039-09-25 Floating 2.06673 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8EK7 1055227.670000 PA USD 1010106.360000 0.0093339 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02 N/A 38383KMK5 5942074.150000 PA USD 6021808.470000 0.0556446 Long ABS-MBS USGSE US N 2 2074-01-20 Floating 5.5346 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A 38383KDY5 352459.820000 PA USD 355557.340000 0.0032855 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 5.7046 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H17 N/A 38383KBM3 5836961.440000 PA USD 5901399.160000 0.054532 Long ABS-MBS USGSE US N 2 2073-07-20 Floating 5.5046 N N N N N N FNMA PASS THRU POOLS N/A 3140QKGJ1 12238789.250000 PA USD 10478743.040000 0.096829 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 30246.100000 0.0002795 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 1900000.000000 USD 30246.100000 N N N FHLMC PASS THRU POOLS N/A 3133BTJX9 856620.810000 PA USD 862385.350000 0.0079689 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N LONG BEACH MTGE LOAN TR 2005-1 N/A 542514KC7 1957650.170000 PA USD 1905107.820000 0.0176042 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.72822 N N N N N N FREDDIE MAC REMICS 3852 N/A 3137ABB59 21859.480000 PA USD 21747.950000 0.000201 Long ABS-MBS USGSE US N 2 2041-05-15 Floating 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36181GDD8 33804.550000 PA USD 30442.860000 0.0002813 Long ABS-MBS USGSE US N 2 2043-06-20 Fixed 3.5 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2019-1A N/A 26829XAB7 4148288.670000 PA USD 4147630.340000 0.0383262 Long ABS-O CORP US N 2 2069-07-25 Floating 5.68327 N N N N N N BAIN CAPITAL CREDIT CLO 2021-2 LTD N/A 05684RAN2 1800000.000000 PA USD 1802307.890000 0.0166543 Long ABS-CBDO CORP KY N 2 2034-07-16 Floating 6.1273 N N N N N N FANNIE MAE 2004-88 N/A 31394BPY4 454875.030000 PA USD 24885.300000 0.00023 Long ABS-MBS USGSE US N 2 2034-10-25 Floating 2.41673 N N N N N N FREDDIE MAC REMICS 4135 N/A 3137AWBC8 1672928.410000 PA USD 41820.700000 0.0003864 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 2.5 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR27 N/A 45661LAG3 5183.190000 PA USD 4644.140000 0.0000429 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.85322 N N N N N N RBSSP RESECURITIZATION TRUST 2009-12 N/A 74928UCD7 2011427.670000 PA USD 1865317.160000 0.0172365 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.47713 N N N N N N UMBS PASS THRU POOLS N/A 01F042418 37800000.000000 PA USD 36976103.260000 0.341678 Long ABS-MBS USGSE US N 2 2040-01-15 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36202FXC5 321278.000000 PA USD 311924.530000 0.0028823 Long ABS-MBS USGSE US N 2 2041-09-20 Fixed 4.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 16675933.570000 PA USD 15014778.790000 0.138744 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.73322 N N N N N N SAXON ASSET SECURITIES TRUST 2005-3 N/A 805564SU6 1123174.330000 PA USD 1105675.950000 0.010217 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.20322 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-4 N/A 126670WW4 14424999.980000 PA USD 13557976.700000 0.125283 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.00822 N N N N N N FANNIE MAE REMICS 2014-47 N/A 3136AKTL7 426636.500000 PA USD 22540.230000 0.0002083 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 1.72318 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-PLND N/A 61691XAA1 2671000.000000 PA USD 1840719.380000 0.0170092 Long ABS-MBS CORP US N 2 2036-05-15 Floating 5.51248 N N N N N N ZEPHYRUS CAPITAL AVIATION PARTNERS LTD 2018-1 N/A 933QMTII0 203363.600000 PA USD 200388.510000 0.0018517 Long ABS-O CORP US N 2 2038-10-15 Fixed 4.605 N N N N N N N/A N/A 000000000 163000000.000000 NC USD 11247.000000 0.0001039 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% JAN 30YR N/A 97.420000 USD 2025-01-07 XXXX -600003.000000 N N N RALI SERIES 2005-QO1 TRUST N/A 761118EN4 105364.960000 PA USD 77672.490000 0.0007177 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.75322 N N N N N N FREDDIE MAC 3016 N/A 31395WXJ1 2140.500000 PA USD 6.150000 0.0000001 Long ABS-MBS USGSE US N 2 2025-08-15 Floating 1.43795 N N N N N N ATLANTIC AVENUE 2024-3A LTD N/A 04822JAA4 21900000.000000 PA USD 21897117.080000 0.202341 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.57608 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4 N/A 10806EAB0 8100000.000000 PA USD 8105754.240000 0.0749013 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.84 N N N N N N WASHINGTON MUTUAL 2007-OA6 N/A 92927BAA0 421646.280000 PA USD 344011.630000 0.0031788 Long ABS-MBS CORP US N 2 2047-07-25 Floating 5.63522 N N N N N N FREDDIE MAC REMICS 5009 N/A 3137FWEG1 31580966.740000 PA USD 5562971.500000 0.0514047 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 3.5 N N N N N N OPORTUN ISSUANCE TRUST 2024-1A N/A 68377JAA8 469244.420000 PA USD 470227.580000 0.0043451 Long ABS-O CORP US N 2 2031-04-08 Fixed 6.334 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-126 N/A 38376G4P2 210182.310000 PA USD 2.100000 0 Long ABS-MBS USGSE US N 2 2053-04-16 Variable 0 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMK6 3201170.900000 PA USD 3160821.230000 0.0292076 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 5.5 N N N N N N FREDDIE MAC-3136 N/A 31396NGH3 1278.990000 PA USD 1107.260000 0.0000102 Long ABS-MBS USGSE US N 2 2036-04-15 None 0 N N N N N N BX TRUST 2021-BXMF N/A 05609RAL8 3232103.830000 PA USD 3222880.050000 0.0297811 Long ABS-MBS CORP US N 2 2026-10-15 Floating 6.34154 N N N N N N FREDDIE MAC REMICS 5458 N/A 3137HFY66 50589288.820000 PA USD 2895837.130000 0.026759 Long ABS-MBS USGSE US N 2 2054-09-25 Floating 0.73121 N N N N N N FNMA PASS THRU POOLS N/A 31417SQA1 821325.690000 PA USD 790766.930000 0.0073071 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.5 N N N N N N CIFC FUNDING LTD 2015-3A N/A 12550MAJ9 3599674.000000 PA USD 3603378.930000 0.0332971 Long ABS-CBDO CORP KY N 2 2029-04-19 Floating 5.74901 N N N N N N FHLMC PASS THRU POOLS N/A 3132JAV69 14250.300000 PA USD 13392.860000 0.0001238 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4 N N N N N N N/A N/A 000000000 83300000.000000 NC USD 137228.420000 0.0012681 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 10/07/25-7Y LCH 2032-10-07 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2025-10-03 XXXX -362571.580000 N N N FANNIE MAE REMICS 2012-143 N/A 3136AAS48 1588434.320000 PA USD 145442.450000 0.001344 Long ABS-MBS USGSE US N 2 2033-01-25 Fixed 4 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P4 N/A 14076LAC7 7400000.000000 PA USD 7389678.480000 0.0682844 Long ABS-O CORP US N 2 2030-01-10 Fixed 4.64 N N N N N N PRPM 2024-RCF6 LLC N/A 74390FAA7 2272778.550000 PA USD 2192670.150000 0.0202614 Long ABS-MBS CORP US N 2 2054-10-25 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36202EVG1 8184.140000 PA USD 8171.880000 0.0000755 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4990 N/A 3137FUSA3 3753034.240000 PA USD 838903.730000 0.0077519 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FPFW4 3907193.250000 PA USD 3745889.000000 0.0346139 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 3954 N/A 3137AJ3V4 704099.440000 PA USD 656664.820000 0.0060679 Long ABS-MBS USGSE US N 2 2041-07-15 Fixed 2 N N N N N N RAAC SERIES 2005-SP2 N/A 76112BF54 19447.510000 PA USD 17174.480000 0.0001587 Long ABS-MBS CORP US N 2 2044-06-25 Floating 5.05322 N N N N N N FANNIEMAE GRANTOR TRUST 2004-T3 N/A 31393YV77 14802.710000 PA USD 14843.400000 0.0001372 Long ABS-MBS USGSE US N 2 2043-08-25 Floating 5.01394 N N N N N N N/A N/A 000000000 -100400000.000000 NC USD -8283.000000 -0.0000765 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.29500 01/09/25-7Y LCH 2032-01-09 0.000000 USD 0.000000 USD N/A USD N/A 4.290000 USD 2025-01-07 XXXX 220127.000000 N N N FREDDIE MAC 3725 N/A 3137A1TW3 5917593.470000 PA USD 5674037.160000 0.052431 Long ABS-MBS USGSE US N 2 2040-05-15 Fixed 2.25 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWF73 113280891.470000 PA USD 113892967.380000 1.05243 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N FANNIE MAE REMICS 2012-67 N/A 3136A7JB9 435919.330000 PA USD 398719.150000 0.0036844 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 3.5 N N N N N N PRPM 2024-RCF1 LLC N/A 693581AA8 863787.360000 PA USD 844018.460000 0.0077992 Long ABS-MBS CORP US N 2 2054-01-25 Fixed 4 N N N N N N JP MORGAN MTGGE ACQUIS CORP 2005-OPT2 N/A 46626LEP1 617275.150000 PA USD 606515.610000 0.0056045 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.38322 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 4430309.140000 PA USD 4419036.660000 0.0408342 Long ABS-O CORP US N 2 2030-09-25 Fixed 5.32 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAF2 4925817.700000 PA USD 2101094.730000 0.0194152 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.91322 N N N N N N N/A N/A 000000000 58300000.000000 NC USD 51688.780000 0.0004776 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Purchased Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.26150 09/15/25-7Y LCH 2032-09-15 0.000000 USD 0.000000 USD N/A USD N/A 2.260000 USD 2025-09-11 XXXX -449108.220000 N N N GRIFONAS FINANCE NO.1 PLC GRIF-1 N/A B1DFQWII3 6066230.630000 PA 6153962.440000 0.0568658 Long ABS-MBS CORP GB N 2 2039-08-28 Floating 3.681 N N N N N N FNMA PASS THRU POOLS N/A 3140QKSY5 59084658.850000 PA USD 50611238.710000 0.467674 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-13 N/A 23242EAL3 16600000.000000 PA USD 15166189.940000 0.140143 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.88822 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS12 N/A 761118DV7 512262.390000 PA USD 409311.380000 0.0037822 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.80322 N N N N N N FREDDIE MAC REMICS 5183 N/A 3137H4ZD5 10027480.610000 PA USD 1316394.620000 0.0121642 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4922 N/A 3137FP2R5 1370312.700000 PA USD 135923.920000 0.001256 Long ABS-MBS USGSE US N 2 2049-04-25 Floating 1.36673 N N N N N N FNMA PASS THRU POOLS N/A 3140LK5N9 2820300.000000 PA USD 2864465.220000 0.0264691 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 5.17 N N N N N N N/A N/A 000000000 171000000.000000 NC USD 1369145.700000 0.0126516 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% MAR 30YR N/A 95.830000 USD 2025-03-06 XXXX 781333.200000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-7 N/A 38378CMZ7 731855.460000 PA USD 602542.090000 0.0055678 Long ABS-MBS USGSE US N 2 2041-05-20 None 0 N N N N N N FREDDIEMAC STRIP-409 N/A 3142G6NP7 23584888.500000 PA USD 6166527.820000 0.0569819 Long ABS-MBS USGSE US N 2 2053-11-25 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140J8QY2 1765104.700000 PA USD 1650186.410000 0.0152486 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KLTN7 47711833.010000 PA USD 40601845.710000 0.375182 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF2 N/A 61911CAA1 911625.390000 PA USD 894378.350000 0.0082645 Long ABS-MBS CORP US N 2 2042-02-25 Floating 4.71 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A 38383KDF6 23617136.660000 PA USD 23915406.930000 0.220991 Long ABS-MBS USGSE US N 2 2073-08-20 Floating 5.5746 N N N N N N GSMSC PASS-THROUGH TRUST 2009-6R N/A 36190NAB9 3491310.330000 PA USD 3108465.810000 0.0287238 Long ABS-MBS CORP US N 2 2037-06-26 Variable 4.29285 N N N N N N ANGEL OAK MORTGAGE TRUST 2023-7 N/A 03466DAA0 7646281.990000 PA USD 7491028.820000 0.069221 Long ABS-MBS CORP US N 2 2067-11-25 Fixed 4.8 N N N N N N FANNIE MAE REMICS 2020-66 N/A 3136BBL42 23621830.700000 PA USD 5673460.590000 0.0524257 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 3.5 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAC5 4908674.210000 PA USD 3379750.800000 0.0312306 Long ABS-MBS CORP US N 2 2045-07-25 Floating 4.71322 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XPK0 310758.910000 PA USD 17015.040000 0.0001572 Long ABS-MBS USGSE US N 2 2034-05-15 Variable 3 N N N N N N FNMA PASS THRU POOLS N/A 3140H6HW2 270073.040000 PA USD 250555.020000 0.0023153 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N N/A N/A 000000000 623500000.000000 NC USD 349035.300000 0.0032253 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/16/25-1Y LCH 2026-09-16 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-12 XXXX 165102.800000 N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-C N/A 43709BAF6 8800000.000000 PA USD 8078207.280000 0.0746468 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.93322 N N N N N N FANNIE MAE REMICS 2021-46 N/A 3136BH3S6 4171747.710000 PA USD 731758.760000 0.0067618 Long ABS-MBS USGSE US N 2 2051-07-25 Fixed 3 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 1112298.790000 PA USD 645401.810000 0.0059638 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.15067 N N N N N N FANNIE MAE REMICS 2017-66 N/A 3136AYDK6 10458153.360000 PA USD 1168198.740000 0.0107948 Long ABS-MBS USGSE US N 2 2047-09-25 Floating 1.46673 N N N N N N FANNIE MAE REMICS 2021-22 N/A 3136BFSJ3 6178114.940000 PA USD 976556.710000 0.0090239 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -84616849.600000 -0.781903 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-03-19 0.000000 USD -65038942.000000 USD 1763200000.000000 USD -19577907.600000 N N N FREDDIE MAC REMICS 4990 N/A 3137FUS70 11031861.620000 PA USD 1199746.940000 0.0110863 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.41673 N N N N N N N/A N/A 000000000 -94800000.000000 NC USD -601022.520000 -0.0055538 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.20000 03/10/25-7Y LCH 2032-03-10 0.000000 USD 0.000000 USD N/A USD N/A 4.200000 USD 2025-03-06 XXXX -401942.520000 N N N MF1 2021-FL5 LTD N/A 55282XAC4 20000000.000000 PA USD 19826087.000000 0.183203 Long ABS-MBS CORP KY N 2 2036-07-15 Floating 5.6963 N N N N N N FANNIE MAE REMICS 2009-36 N/A 31397NQ24 790560.000000 PA USD 766300.720000 0.007081 Long ABS-MBS USGSE US N 2 2039-05-25 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133CS2D2 1156904.340000 PA USD 1146844.170000 0.0105974 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 3706 N/A 3137A1AD5 1381677.660000 PA USD 38494.510000 0.0003557 Long ABS-MBS USGSE US N 2 2040-08-15 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15 N/A 38376R5Y8 88234.500000 PA USD 87871.420000 0.000812 Long ABS-MBS USGSE US N 2 2067-07-20 Floating 5.26648 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4 N/A 10806EAC8 6400000.000000 PA USD 6404172.800000 0.0591779 Long ABS-O CORP US N 2 2028-09-15 Fixed 4.72 N N N N N N GNMA PASS THRU POOLS N/A 36241L6M3 2881682.040000 PA USD 2798178.390000 0.0258566 Long ABS-MBS USGSE US N 2 2041-12-20 Fixed 4.5 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-WMC4 N/A 61744CRF5 148279.600000 PA USD 140746.820000 0.0013006 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.50322 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282R0 21700000.000000 PA USD 20629997.520000 0.190632 Long DBT UST US N 2 2027-08-15 Fixed 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202FVG8 3222187.240000 PA USD 3128380.410000 0.0289078 Long ABS-MBS USGSE US N 2 2041-07-20 Fixed 4.5 N N N N N N LEHMAN MORTGAGE TRUST 2007-5 N/A 52521RBH3 79790.140000 PA USD 53982.030000 0.0004988 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.77322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H24 N/A 38383KGP1 8215180.720000 PA USD 8332311.950000 0.0769948 Long ABS-MBS USGSE US N 2 2073-10-20 Floating 5.5546 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02 N/A 38382YN82 1180110.230000 PA USD 1161134.880000 0.0107295 Long ABS-MBS USGSE US N 2 2073-01-20 Floating 5.5046 N N N N N N FHLMC PASS THRU POOLS N/A 3133ATY47 1108741.400000 PA USD 957615.970000 0.0088489 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3 N N N N N N FREDDIE MAC REMICS 5121 N/A 3137H13A2 11085796.600000 PA USD 1803062.690000 0.0166612 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 3 N N N N N N STRUCTURED ASSET SEC CORP 2006-EQ1A N/A 86360RAA1 1030.820000 PA USD 1030.570000 0.0000095 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.72322 N N N N N N MFA 2021-NQM1 TRUST N/A 55283FAD0 8966000.000000 PA USD 7070693.400000 0.0653368 Long ABS-MBS CORP US N 2 2065-04-25 Variable 2.306 N N N N N N GNMA PASS THRU POOLS N/A 36179NJC3 455429.470000 PA USD 442169.360000 0.0040859 Long ABS-MBS USGSE US N 2 2043-07-20 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-54 N/A 38378MRJ6 1195214.710000 PA USD 963880.900000 0.0089068 Long ABS-MBS USGSE US N 2 2043-04-20 Fixed 3.5 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2006-5 N/A 05950BBB9 1220632.920000 PA USD 916662.850000 0.0084704 Long ABS-MBS CORP US N 2 2046-06-25 Fixed 6 N N N N N N N/A N/A 000000000 467500000.000000 NC USD 298311.750000 0.0027566 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 03/17/25-10Y LCH 2035-03-17 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-03-13 XXXX -52313.250000 N N N FREDDIE MAC STRIPS 408 N/A 3142G6F35 49945578.480000 PA USD 6356593.750000 0.0587382 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 2 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H19 N/A 38380QNU2 6372137.620000 PA USD 6226596.720000 0.057537 Long ABS-MBS USGSE US N 2 2070-11-20 Floating 5.21648 N N N N N N FNMA PASS THRU POOLS N/A 3138WEB24 258802.760000 PA USD 236260.590000 0.0021832 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 3.5 N N N N N N N/A N/A 000000000 -1000000.000000 NC USD -14833.200000 -0.0001371 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JAN 30YR N/A 97.940000 USD 2025-01-07 XXXX -12137.890000 N N N RESIDENTIAL ACCREDIT LOANS INC 2007-QS3 N/A 75116BAA6 2661039.560000 PA USD 2170185.530000 0.0200536 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6.5 N N N N N N ASCENT EDUCATION FUNDING TRUST 2024-A N/A 04362VAA3 3006785.690000 PA USD 3033686.200000 0.0280328 Long ABS-O CORP US N 2 2050-10-25 Fixed 6.14 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4 N/A 802919AD2 9500000.000000 PA USD 9534690.200000 0.0881054 Long ABS-O CORP US N 2 2029-09-17 Fixed 4.93 N N N N N N DRYDEN SENIOR LOAN FUND 2016-43A N/A 26245CBQ5 1000000.000000 PA USD 1000000.000000 0.0092405 Long ABS-CBDO CORP KY N 3 2034-04-20 Floating 5.6874 N N N N N N FANNIE MAE INTEREST STRIP 423 N/A 31397VXA0 8692089.210000 PA USD 1315442.610000 0.0121554 Long ABS-MBS USGSE US N 2 2047-02-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 5003 N/A 3137FVHZ8 6106860.640000 PA USD 768067.190000 0.0070973 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 1.41673 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2 N/A 81376GAD2 21083906.100000 PA USD 14565015.340000 0.134588 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.77322 N N N N N N VASA TRUST 2021-VASA N/A 92230AAG1 11635000.000000 PA USD 8883398.130000 0.0820872 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.61248 N N N N N N GNMA PASS THRU POOLS N/A 36179QRZ6 603585.280000 PA USD 568462.770000 0.0052529 Long ABS-MBS USGSE US N 2 2044-10-20 Fixed 4 N N N N N N TOWD POINT MORTGAGE TRUST 2024-5 N/A 891944AA8 47772848.210000 PA USD 46765705.800000 0.432139 Long ABS-MBS CORP US N 2 2064-10-25 Variable 4.48008 N N N N N N DOLP TRUST 2021-NYC N/A 23345LAJ8 19360000.000000 PA USD 15221476.690000 0.140654 Long ABS-MBS CORP US N 2 2041-05-10 Variable 3.70378 N N N N N N NASSAU LTD 2018-IA N/A 63170MAA1 6026542.730000 PA USD 6034832.420000 0.055765 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.06751 N N N N N N FNMA PASS THRU POOLS N/A 3140NAJQ7 2305246.960000 PA USD 2320349.350000 0.0214412 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N FANNIE MAE REMICS 2013-16 N/A 3136ACSM4 11008877.800000 PA USD 9553013.160000 0.0882748 Long ABS-MBS USGSE US N 2 2033-03-25 Floating 0.080076 N N N N N N FANNIE MAE REMICS 2012-16 N/A 3136A4QV4 5968.620000 PA USD 5844.440000 0.000054 Long ABS-MBS USGSE US N 2 2041-10-25 Fixed 4 N N N N N N FREDDIE MAC 2437 N/A 31339WW51 14432.970000 PA USD 13832.910000 0.0001278 Long ABS-MBS USGSE US N 2 2032-04-15 None 0 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C3 N/A 90349DAL6 11825852.040000 PA USD 31375.170000 0.0002899 Long ABS-MBS CORP US N 2 2049-08-10 Variable 0.17816 N N N N N N FNMA PASS THRU POOLS N/A 3140XRMW2 956477.240000 PA USD 977186.540000 0.0090297 Long ABS-MBS USGSE US N 2 2054-10-01 Fixed 6.5 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A8 N/A 761119AD8 450637.090000 PA USD 276958.040000 0.0025592 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N FANNIE MAE REMICS 2013-75 N/A 3136AFQG2 9011786.710000 PA USD 692875.730000 0.0064025 Long ABS-MBS USGSE US N 2 2043-02-25 Floating 1.56673 N N N N N N N/A N/A 000000000 204800000.000000 NC USD 20.480000 0.0000002 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Purchased Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.94250 01/06/25-7Y LCH 2032-01-06 0.000000 USD 0.000000 USD N/A USD N/A 2.940000 USD 2025-01-02 XXXX -624619.520000 N N N FANNIE MAE REMICS 2017-60 N/A 3136AXQW8 22312116.380000 PA USD 497885.950000 0.0046007 Long ABS-MBS USGSE US N 2 2047-08-25 Floating 0 N N N N N N COUNTRYWIDE HOME LOANS 2004-J4 N/A 12669FUM3 170973.180000 PA USD 158375.280000 0.0014635 Long ABS-MBS CORP US N 2 2034-05-01 Fixed 4.5 N N N N N N JP MORGAN MORTGAGE TRUST 2021-13 N/A 46592XAH7 9636010.890000 PA USD 181898.980000 0.0016808 Long ABS-O CORP US N 2 2052-04-25 Variable 0.5 N N N N N N FNMA PASS THRU POOLS N/A 3140JL2A1 1906028.630000 PA USD 1878804.750000 0.0173611 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 5 N N N N N N SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2024-INV1 N/A 795924AA7 9381040.240000 PA USD 9412236.890000 0.0869739 Long ABS-MBS CORP US N 2 2059-08-25 Fixed 5.582 N N N N N N ASSET BACKED SEC CORP HM EQ 2003-HE6 N/A 04541GGM8 2414980.870000 PA USD 2392594.720000 0.0221088 Long ABS-MBS CORP US N 2 2033-11-25 Floating 5.41322 N N N N N N FNMA PASS THRU POOLS N/A 3140XPAM1 20279143.950000 PA USD 20770840.190000 0.191933 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6 N N N N N N FANNIE MAE REMICS 2015-6 N/A 3136AMXJ3 3623692.820000 PA USD 115554.130000 0.0010678 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H04 N/A 38380VPG0 270796.740000 PA USD 268984.490000 0.0024856 Long ABS-MBS USGSE US N 2 2068-03-20 Floating 5.58116 N N N N N N BCP TRUST 2021-330N N/A 05553BAJ4 5000000.000000 PA USD 3699737.500000 0.0341875 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.10848 N N N N N N N/A N/A 000000000 134000000.000000 NC USD 723.600000 0.0000067 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% JAN 30YR N/A 98.750000 USD 2025-01-07 XXXX -213885.780000 N N N PRPM 2024-NQM1 TRUST N/A 693977AA8 2172172.070000 PA USD 2196905.720000 0.0203005 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.265 N N N N N N FREDDIE MAC REMICS 4076 N/A 3137ASG24 878495.040000 PA USD 126606.420000 0.0011699 Long ABS-MBS USGSE US N 2 2042-07-15 Floating 1.98795 N N N N N N FREDDIE MAC STRIPS 324 N/A 31325VBT0 12744988.010000 PA USD 2199044.450000 0.0203203 Long ABS-MBS USGSE US N 2 2043-12-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36195PUJ0 717102.510000 PA USD 650544.840000 0.0060114 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N PRPM 2024-8 LLC N/A 74448KAA8 7600000.000000 PA USD 7618570.450000 0.0703995 Long ABS-MBS CORP US N 3 2029-12-25 Fixed 5.897 N N N N N N FNMA PASS THRU POOLS N/A 3140XBHT0 30466441.430000 PA USD 26020361.210000 0.240442 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4G5 1119379.410000 PA USD 1127441.070000 0.0104181 Long ABS-O CORP US N 2 2032-09-15 Fixed 8.036 N N N N N N N/A N/A 000000000 88600000.000000 NC USD 2114208.640000 0.0195364 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.98500 10/31/25-7Y LCH 2032-10-31 0.000000 USD 0.000000 USD N/A USD N/A 3.980000 USD 2025-10-29 XXXX 421948.640000 N N N FNMA PASS THRU POOLS N/A 3140LKCN1 11208000.000000 PA USD 10830178.770000 0.100076 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.385 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-SD1 N/A 1266712J4 2214239.570000 PA USD 2112454.300000 0.0195202 Long ABS-MBS CORP US N 2 2032-10-25 Floating 5.47322 N N N N N N PREFERRED TERM SECURITIES XVI LTD / PREFERRED TERM SECURITIES XVI INC N/A 74041EAB1 3440964.540000 PA USD 3217301.840000 0.0297295 Long DBT CORP KY N 2 2035-03-23 Floating 5.23706 N N N N N N UNITED WHOLESALE MORTGAGE LLC 2021-INV3 N/A 90355RBD3 6259127.190000 PA USD 821199.990000 0.0075883 Long ABS-O CORP US N 2 2051-11-25 Variable 2.5 N N N N N N FANNIE MAE 2007-1 N/A 31396PHR5 509192.480000 PA USD 430037.240000 0.0039738 Long ABS-MBS USGSE US N 2 2037-02-25 None 0 N N N N N N N/A N/A 000000000 -167100000.000000 NC USD -658658.070000 -0.0060863 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.29150 02/27/25-7Y LCH 2032-02-27 0.000000 USD 0.000000 USD N/A USD N/A 4.290000 USD 2025-02-25 XXXX -149003.070000 N N N FNMA PASS THRU POOLS N/A 3140LKTR4 12320000.000000 PA USD 11904587.460000 0.110005 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4.44 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL8 N/A 69392DAA0 6948915.010000 PA USD 6971300.240000 0.0644184 Long ABS-MBS CORP US N 2 2054-11-25 Fixed 5.9632 N N N N N N FNMA PASS THRU POOLS N/A 3140L7W32 757225.540000 PA USD 651057.330000 0.0060161 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 3 N N N N N N N/A N/A 000000000 228500000.000000 NC USD 565697.450000 0.0052273 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.53100 03/21/25-7Y LCH 2032-03-21 0.000000 USD 0.000000 USD N/A USD N/A 3.530000 USD 2025-03-19 XXXX -75706.060000 N N N US CAPITAL FUNDING V LTD 2006-5A N/A 90342WAA5 519536.440000 PA USD 480571.210000 0.0044407 Long ABS-CBDO CORP KY N 2 2040-10-10 Floating 5.21756 N N N N N N BNC MORTGAGE LOAN TRUST 2007-1 N/A 05569GAE6 29581000.000000 PA USD 23837970.130000 0.220275 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.67322 N N N N N N N/A N/A 000000000 1.000000 NC USD 38105.240000 0.0003521 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 2200000.000000 USD 38105.240000 N N N N/A N/A 000000000 120600000.000000 NC USD 90305.280000 0.0008345 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 04/21/25-10Y LCH 2035-04-21 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2025-04-16 XXXX -1276997.220000 N N N FANNIE MAE REMICS 2016-52 N/A 3136AS6K7 4188707.990000 PA USD 644753.160000 0.0059579 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 4 N N N N N N N/A N/A 000000000 70100000.000000 NC USD 818074.010000 0.0075594 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Purchased Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.74000 11/03/25-10Y LCH 2035-11-03 0.000000 USD 0.000000 USD N/A USD N/A 4.740000 USD 2025-10-30 XXXX 104806.510000 N N N PRPM 2024-NQM2 TRUST N/A 74448PAA7 4939594.780000 PA USD 4985460.890000 0.0460682 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.327 N N N N N N BARINGS CLO LTD 2021-III N/A 06762TAA9 12300000.000000 PA USD 12323193.000000 0.113873 Long ABS-CBDO CORP KY N 2 2035-01-18 Floating 6.04396 N N N N N N HILDENE TRUPS 2018-1A N/A 43133AAA5 14412117.800000 PA USD 14412117.800000 0.133175 Long ABS-CBDO CORP KY N 2 2038-10-10 Floating 6.29756 N N N N N N CRSNT TRUST 2021-MOON N/A 22877LAF4 17000000.000000 PA USD 16719834.900000 0.1545 Long ABS-MBS CORP US N 2 2036-04-15 Floating 6.51448 N N N N N N GNMA PASS THRU POOLS N/A 36196FZE7 24738.020000 PA USD 22441.930000 0.0002074 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 3.5 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 311282.610000 PA USD 248830.540000 0.0022993 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.89322 N N N N N N VERUS SECURITIZATION TRUST 2023-2 N/A 92539DAA6 5508934.200000 PA USD 5542306.770000 0.0512138 Long ABS-MBS CORP US N 2 2068-03-25 Fixed 6.193 N N N N N N N/A N/A 000000000 215000000.000000 NC USD 98878.500000 0.0009137 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 06/02/25-7Y LCH 2032-06-02 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2025-05-29 XXXX -1900621.500000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB N/A 021468AC7 1357181.010000 PA USD 128368.020000 0.0011862 Long ABS-O CORP US N 2 2036-06-25 Floating 1.14678 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3 N/A 83611MPJ1 5329660.830000 PA USD 5230944.850000 0.0483366 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.95322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-45 N/A 38381TYZ2 10404185.430000 PA USD 1220508.750000 0.0112781 Long ABS-MBS USGSE US N 2 2049-04-20 Floating 1.56526 N N N N N N FREDDIE MAC 4839 N/A 3137FJJY6 1643011.220000 PA USD 1009656.350000 0.0093297 Long ABS-MBS USGSE US N 2 2056-08-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3133CCNP7 3095271.880000 PA USD 3014577.580000 0.0278562 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N N/A N/A 000000000 2092000000.000000 NC USD 7296896.000000 0.0674271 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased N/A USD-SOFR-COMPOUND N/A 0.030000 USD 2027-01-26 XXXX -17807104.000000 N N N FNMA PASS THRU POOLS N/A 31410GD91 7907.140000 PA USD 8120.360000 0.000075 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 7.3 N N N N N N FNMA PASS THRU POOLS N/A 31418CGR9 13383.490000 PA USD 12419.060000 0.0001148 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 2600163.740000 PA USD 2412830.000000 0.0222958 Long ABS-MBS CORP US N 2 2035-08-25 Floating 6.22522 N N N N N N FNMA PASS THRU POOLS N/A 3138EA7K7 47037.920000 PA USD 44399.430000 0.0004103 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FU3G1 647879.870000 PA USD 618482.420000 0.0057151 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N FREDDIE MAC 2725 N/A 31394MWL0 423057.530000 PA USD 418164.190000 0.0038641 Long ABS-MBS USGSE US N 2 2033-12-15 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2023-39 N/A 3136BQFV6 244747291.230000 PA USD 31687652.070000 0.29281 Long ABS-MBS USGSE US N 2 2052-07-25 Fixed 2 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8 N/A 46649JAJ7 1021075.960000 PA USD 996109.330000 0.0092046 Long ABS-MBS CORP US N 2 2035-02-15 Floating 5.995 N N N N N N RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10 N/A 76112BED8 9399438.580000 PA USD 8633953.940000 0.0797822 Long ABS-MBS CORP US N 2 2034-10-25 Floating 5.70322 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-D N/A 22411JAC9 8700000.000000 PA USD 8616791.460000 0.0796236 Long ABS-O CORP US N 2 2031-01-15 Fixed 4.76 N N N N N N FREDDIE MAC 5110 N/A 3137H02V9 26614734.240000 PA USD 4839633.920000 0.0447207 Long ABS-MBS USGSE US N 2 2051-05-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8EM3 462063.260000 PA USD 442744.010000 0.0040912 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 4 N N N N N N FREDDIE MAC 3171 N/A 31396TUR2 1356263.140000 PA USD 1113956.150000 0.0102935 Long ABS-MBS USGSE US N 2 2036-06-15 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31418DWS7 14883910.230000 PA USD 12266720.630000 0.113351 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.5 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC2 N/A 07387UGS4 3470451.520000 PA USD 1433225.680000 0.0132437 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6 N N N N N N FANNIE MAE-2020-29 N/A 3136B9TA5 576358.710000 PA USD 573339.050000 0.0052979 Long ABS-MBS USGSE US N 2 2050-05-25 Floating 5.61896 N N N N N N FANNIE MAE INTEREST STRIP FNS 426 N/A 31422MZK5 11979757.510000 PA USD 1210972.470000 0.01119 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 1.5 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAG7 6100000.000000 PA USD 6090729.220000 0.0562815 Long ABS-O CORP US N 2 2029-04-16 Fixed 4.89 N N N N N N FNMA PASS THRU POOLS N/A 31418XYC6 86322.030000 PA USD 83167.830000 0.0007685 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-99 N/A 38380F3T1 287336.000000 PA USD 17820.550000 0.0001647 Long ABS-MBS USGSE US N 2 2046-11-20 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-152 N/A 38379FAR0 3406962.300000 PA USD 105752.450000 0.0009772 Long ABS-MBS USGSE US N 2 2040-05-20 Floating 0 N N N N N N COMMONBOND STUDENT LOAN TRUST 2020-AGS N/A 20267WAA3 4316937.090000 PA USD 3713645.130000 0.034316 Long ABS-O CORP US N 2 2050-08-25 Fixed 1.98 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAC0 2663400.480000 PA USD 2096972.700000 0.0193771 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.83322 N N N N N N BEAR STEARNS ARM TR 2004-3 N/A 07384MR87 28979.100000 PA USD 27103.600000 0.0002505 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.25074 N N N N N N FREDDIE MAC REMICS 4068 N/A 3137ARPM2 4168763.610000 PA USD 373772.600000 0.0034539 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 1.28795 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1 N/A 004421WQ2 382599.010000 PA USD 378347.070000 0.0034961 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.05322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-22 N/A 38383MRW0 6772806.940000 PA USD 4341644.900000 0.040119 Long ABS-MBS USGSE US N 2 2051-08-20 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-54 N/A 3136AEUQ8 45913.810000 PA USD 40930.350000 0.0003782 Long ABS-MBS USGSE US N 2 2033-06-25 Fixed 3 N N N N N N GS MORTGAGE SECURITIES TRUST 2020-DUNE N/A 36258BAN8 4115000.000000 PA USD 4020877.190000 0.037155 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.32 N N N N N N FREDDIE MAC 2400 N/A 31339NBP0 3500.730000 PA USD 3358.280000 0.000031 Long ABS-MBS USGSE US N 2 2032-01-15 None 0 N N N N N N FANNIE MAE REMICS 2011-117 N/A 3136A14J1 750543.630000 PA USD 466320.340000 0.004309 Long ABS-MBS USGSE US N 2 2041-11-25 Floating 0.20602 N N N N N N FREDDIE MAC 2990 N/A 31395V4K2 103834.040000 PA USD 1269.620000 0.0000117 Long ABS-MBS USGSE US N 2 2035-03-15 Floating 1.93795 N N N N N N FANNIE MAE 2019-65 N/A 3136B7AX9 1561428.150000 PA USD 1537766.420000 0.0142098 Long ABS-MBS USGSE US N 2 2059-11-25 Floating 5.41896 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H26 N/A 38383KKA9 5242100.800000 PA USD 5214611.750000 0.0481857 Long ABS-MBS USGSE US N 2 2073-09-20 Floating 4.9046 N N N N N N N/A N/A 000000000 1.000000 NC USD 6896377.830000 0.0637261 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-02-06 943267.500000 USD 0.000000 USD 1186500000.000000 USD 5953110.330000 N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6 N/A 36272QAH0 100873.230000 PA USD 96307.710000 0.0008899 Long ABS-MBS CORP US N 2 2064-01-25 Fixed 0 N N N N N N UMBS PASS THRU POOLS N/A 01F070617 458700000.000000 PA USD 475649354.900000 4.39524 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 7 N N N N N N N/A N/A 000000000 13207.000000 NC USD -21331098.660000 -0.19711 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long N/A 90SOFR 2027-03-16 3170918156.250000 USD -21331098.660000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-8 N/A 38378P6U7 833578.980000 PA USD 19905.370000 0.0001839 Long ABS-MBS USGSE US N 2 2043-09-20 Floating 1.06526 N N N N N N MERRILL LYNCH MTGE INVESTORS 2006-A2 N/A 590215AC3 266139.770000 PA USD 175245.670000 0.0016194 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.92102 N N N N N N FREDDIE MAC REMICS 5070 N/A 3137F9VX6 38986209.990000 PA USD 7586498.140000 0.0701031 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418FAY3 9999001.600000 PA USD 10215494.280000 0.0943964 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 6.5 N N N N N N COUNTRYWIDE HOME LOANS 2004-25 N/A 12669GJY8 294165.240000 PA USD 273645.100000 0.0025286 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.11322 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS3 N/A 76110WS64 1526322.470000 PA USD 1516994.500000 0.0140178 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.39822 N N N N N N FANNIE MAE REMICS 2012-137 N/A 3136AAK53 745659.590000 PA USD 72429.350000 0.0006693 Long ABS-MBS USGSE US N 2 2032-12-25 Floating 2.11673 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4Q2 4361330.510000 PA USD 677906.640000 0.0062642 Long ABS-MBS USGSE US N 2 2047-10-15 Fixed 3 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P3 N/A 14688GAB0 1033257.790000 PA USD 1035006.270000 0.009564 Long ABS-O CORP US N 2 2026-11-10 Fixed 6.09 N N N N N N COUNTRYWIDE HOME LOANS 2005-31 N/A 126694US5 853280.960000 PA USD 797098.040000 0.0073656 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.73911 N N N N N N VERUS SECURITIZATION TRUST 2022-2 N/A 92538XAA3 4910640.690000 PA USD 4639536.490000 0.0428717 Long ABS-MBS CORP US N 2 2067-02-25 Variable 4.26 N N N N N N TOWD POINT MORTGAGE TRUST 2024-3 N/A 89183FAP3 16016403.900000 PA USD 15778452.990000 0.145801 Long ABS-MBS CORP US N 2 2065-07-25 Variable 5.15315 N N N N N N FREDDIE MAC REMICS 5051 N/A 3137F83L5 113006952.580000 PA USD 3904864.840000 0.036083 Long ABS-MBS USGSE US N 2 2048-11-15 Floating 0 N N N N N N BANCO LA HIPOTECARIA SA 2016-1A N/A 50346VAA7 4314101.860000 PA USD 4101041.700000 0.0378957 Long ABS-MBS CORP PA N 3 2046-01-15 Fixed 3.3575 N N N N N N JP MORGAN MORTGAGE TRUST 2021-7 N/A 46592NBV7 43676575.420000 PA USD 444806.610000 0.0041102 Long ABS-O CORP US N 2 2051-11-25 Variable 0.1875 N N N N N N N/A N/A 000000000 1.000000 NC USD 75201.010000 0.0006949 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 3200000.000000 USD 75201.010000 N N N JP MORGAN ALTERNATIVE LN TRUST 2008-R4 N/A 466309AA9 2544571.110000 PA USD 1271615.820000 0.0117504 Long ABS-MBS CORP US N 2 2036-12-27 Fixed 6 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6 N/A 85573RAF5 9324000.000000 PA USD 6469577.680000 0.0597822 Long ABS-MBS CORP US N 2 2066-11-25 Fixed 3.386 N N N N N N GNMA PASS THRU POOLS N/A 36202EXU8 2752.280000 PA USD 2861.430000 0.0000264 Long ABS-MBS USGSE US N 2 2038-11-20 Fixed 6 N N N N N N PRPM 2023-RCF2 LLC N/A 69380RAA3 982157.230000 PA USD 960207.100000 0.0088728 Long ABS-MBS CORP US N 2 2053-11-25 Fixed 4 N N N N N N WELLS FARGO MTGE BACKED SEC 2007-AR8 N/A 94985YAA5 2511366.880000 PA USD 2210716.330000 0.0204282 Long ABS-MBS CORP US N 2 2037-11-25 Floating 6.6581 N N N N N N FREDDIE MAC REMICS 5167 N/A 3137H3MA7 41388202.500000 PA USD 2992122.850000 0.0276488 Long ABS-MBS USGSE US N 2 2046-12-15 Floating 1.82752 N N N N N N FNMA PASS THRU POOLS N/A 3140X63B5 6181982.970000 PA USD 5889086.610000 0.0544182 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MTG ASSOC 2022-45 N/A 38383MP77 2901295.630000 PA USD 1820170.170000 0.0168193 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3617LJWL3 229176.180000 PA USD 205837.970000 0.001902 Long ABS-MBS USGSE US N 2 2049-11-15 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2018-32 N/A 3136B1A38 3509528.010000 PA USD 387320.990000 0.003579 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 1.51673 N N N N N N FNMA PASS THRU POOLS N/A 3140J6CP0 167725.820000 PA USD 155603.980000 0.0014379 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140GS2M3 641227.190000 PA USD 594883.870000 0.005497 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YN7 2148435.900000 PA USD 1748736.590000 0.0161592 Long ABS-MBS CORP US N 2 2035-11-25 Variable 5.77233 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H20 N/A 38375UP87 705231.090000 PA USD 704758.300000 0.0065123 Long ABS-MBS USGSE US N 2 2067-10-20 Floating 5.16281 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2007-1 N/A 86362TAA5 2143621.820000 PA USD 1962257.480000 0.0181323 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.75322 N N N N N N FREDDIE MAC REMICS 4325 N/A 3137B9UG8 700364.300000 PA USD 44508.290000 0.0004113 Long ABS-MBS USGSE US N 2 2044-02-15 Floating 1.38795 N N N N N N GNMA PASS THRU POOLS N/A 21H040624 87000000.000000 PA USD 80152603.230000 0.740651 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166 N/A 38379FDK2 812487.630000 PA USD 30911.990000 0.0002856 Long ABS-MBS USGSE US N 2 2042-06-20 Floating 0 N N N N N N LENDINGPOINT 2022-B ASSET SECURITIZATION TRUST N/A 52606WAA6 429164.420000 PA USD 428475.740000 0.0039593 Long ABS-O CORP US N 2 2029-10-15 Fixed 4.77 N N N N N N N/A N/A 000000000 -6592329.160000 PA USD -6594883.680000 -0.0609401 Short RA US N 2 Reverse repurchase N 4.650000 2025-01-14 6938395.130000 USD 6784404.430000 USD AMBS N N N LONG BEACH MORTGAGE LOAN TR 2006-4 N/A 54251MAA2 1518401.730000 PA USD 799490.290000 0.0073877 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.75322 N N N N N N FHLMC PASS THRU POOLS N/A 3132XW5X5 3021381.790000 PA USD 2820127.310000 0.0260594 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FTN64 1614328.350000 PA USD 1552228.790000 0.0143434 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 5051 N/A 3137F7XZ3 19718940.520000 PA USD 2235753.200000 0.0206595 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2 N N N N N N PRPM 2024-NQM4 TRUST N/A 69381UAA5 5900000.000000 PA USD 5910915.590000 0.0546199 Long ABS-MBS CORP US N 2 2069-12-26 Fixed 5.674 N N N N N N READY CAPITAL MORTGAGE FINANCING 2021-FL5 LLC N/A 75574YAG8 3115105.290000 PA USD 3111490.680000 0.0287518 Long ABS-MBS CORP US N 2 2038-04-25 Floating 6.70322 N N N N N N GREAT HALL MORTGAGES PLC 2007-2X N/A B1Z97QII7 25845.080000 PA USD 25810.370000 0.0002385 Long ABS-MBS CORP GB N 2 2039-06-18 Floating 4.88512 N N N N N N FHLMC PASS THRU POOLS N/A 31339SR56 301593.520000 PA USD 270778.800000 0.0025021 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.5 N N N N N N NEW YORK MORTGAGE TRUST 2022-CP1 N/A 62955VAC0 800000.000000 PA USD 680833.600000 0.0062913 Long ABS-MBS CORP US N 2 2061-07-25 Fixed 3.2145 N N N N N N FANNIE MAE REMICS 2018-35 N/A 3136B1D27 4087340.810000 PA USD 478828.710000 0.0044246 Long ABS-MBS USGSE US N 2 2048-05-25 Floating 1.51673 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR25 N/A 45661HAN7 117491.540000 PA USD 90302.190000 0.0008344 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.7738 N N N N N N AMMC CLO 24 LTD N/A 00177LAJ9 5500000.000000 PA USD 5500040.320000 0.0508232 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.76017 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXC8 1436391.490000 PA USD 1346637.940000 0.0124436 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2012-149 N/A 3136AA4K8 720616.640000 PA USD 56757.500000 0.0005245 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 3 N N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GP21 155337.490000 PA USD 157407.530000 0.0014545 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 7.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAD2 116935.490000 PA USD 116007.160000 0.001072 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.59322 N N N N N N FANNIE MAE REMICS 2019-25 N/A 3136B4ZD3 4985317.080000 PA USD 471839.320000 0.00436 Long ABS-MBS USGSE US N 2 2049-06-25 Floating 1.36673 N N N N N N FHLMC PASS THRU POOLS N/A 3132XCSK2 16502667.920000 PA USD 16272190.170000 0.150363 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140KA2J4 1635943.850000 PA USD 1403905.880000 0.0129728 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H04 N/A 38380LRN5 270242.410000 PA USD 270458.600000 0.0024992 Long ABS-MBS USGSE US N 2 2069-03-20 Floating 5.83116 N N N N N N FNMA PASS THRU POOLS N/A 3140XMNC6 7865012.600000 PA USD 8055711.000000 0.0744389 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 6 N N N N N N N/A N/A 000000000 338000000.000000 NC USD 236.600000 0.0000022 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/7.00000 05/12/25-1Y LCH 2026-05-12 0.000000 USD 0.000000 USD N/A USD N/A 7.000000 USD 2025-05-08 XXXX -57223.400000 N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9KJ5 2387000.000000 PA 3011856.320000 0.0278311 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 6.35383 N N N N N N N/A N/A 000000000 173000000.000000 NC USD 3784738.300000 0.0349729 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.31250 06/10/26-7Y LCH 2033-06-10 0.000000 USD 0.000000 USD N/A USD N/A 4.310000 USD 2026-06-08 XXXX 231750.800000 N N N HARLEY MARINE FINANCING LLC 2023-1 N/A 41284LAG9 5561000.000000 PA USD 5574902.500000 0.051515 Long ABS-O CORP US N 3 2027-12-15 Fixed 9.2503 N N N N N N FNMA PASS THRU POOLS N/A 3140FXFU1 2686283.100000 PA USD 2259223.320000 0.0208764 Long ABS-MBS USGSE US N 2 2057-03-01 Fixed 3 N N N N N N PRPM 2024-RPL3 LLC N/A 69381LAA5 5624258.560000 PA USD 5416730.170000 0.0500534 Long ABS-MBS CORP US N 2 2054-11-25 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179RLQ0 1116703.900000 PA USD 1052329.740000 0.0097241 Long ABS-MBS USGSE US N 2 2045-08-20 Fixed 4 N N N N N N FREDDIE MAC REMICS 4988 N/A 3137FUP57 4459776.360000 PA USD 927605.390000 0.0085716 Long ABS-MBS USGSE US N 2 2047-08-15 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140XCUP1 30490579.730000 PA USD 25221534.360000 0.23306 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2015-47 N/A 3136APDE9 119190.710000 PA USD 8233.170000 0.0000761 Long ABS-MBS USGSE US N 2 2044-06-25 Fixed 4 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-FRE2 N/A 46626LHB9 2604566.310000 PA USD 2564922.730000 0.0237012 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.96322 N N N N N N FANNIE MAE REMICS 2010-49 N/A 31398P5R6 63048.120000 PA USD 58524.220000 0.0005408 Long ABS-MBS USGSE US N 2 2040-03-25 Floating 3.29346 N N N N N N GSAA HOME EQUITY TRUST 2006-10 N/A 362375AC1 619589.080000 PA USD 151366.170000 0.0013987 Long ABS-MBS CORP US N 2 2036-06-25 Variable 5.98458 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11 N/A 38382Y5C3 18711092.370000 PA USD 19109734.060000 0.176584 Long ABS-MBS USGSE US N 2 2073-05-20 Floating 5.7046 N N N N N N FEDERAL HOME LOAN MTGE 5199 N/A 3137H6B61 20639108.020000 PA USD 3260139.060000 0.0301254 Long ABS-MBS USGSE US N 2 2052-03-25 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 13567324.730000 0.125369 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2025-02-05 2630915.000000 USD 0.000000 USD 1246000000.000000 USD 10936409.730000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15 N/A 38376RWY8 107144.450000 PA USD 107135.540000 0.00099 Long ABS-MBS USGSE US N 2 2066-07-20 Floating 5.56648 N N N N N N CITY OF DETROIT 549300BQRJP7MKKHOY28 251093S84 4600000.000000 PA USD 3559222.860000 0.0328891 Long DBT MUN US N 2 2044-04-01 Variable 4 N N N N N N FANNIE MAE REMICS 2012-138 N/A 3136AAFB6 1632961.440000 PA USD 43281.480000 0.0003999 Long ABS-MBS USGSE US N 2 2027-12-25 Fixed 3 N N N N N N MDPK-2021-39A N/A 55821LAJ3 2600000.000000 PA USD 2609037.160000 0.0241088 Long ABS-CBDO CORP KY N 2 2034-10-22 Floating 5.88163 N N N N N N GNMA PASS THRU POOLS N/A 36202FFV3 3355.190000 PA USD 3438.330000 0.0000318 Long ABS-MBS USGSE US N 2 2040-04-20 Fixed 5.5 N N N N N N N/A N/A 000000000 155500000.000000 NC USD 235287.050000 0.0021742 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% FEB 30YR N/A 99.150000 USD 2025-02-06 XXXX 77357.360000 N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A N/A 37989AAE4 2000000.000000 PA USD 2007438.400000 0.0185498 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.02 N N N N N N LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2010-1GA N/A 50346RAA6 1862254.400000 PA USD 1848329.000000 0.0170795 Long ABS-MBS CORP PA N 3 2039-09-08 Floating 3.25 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W16 1700000.000000 PA 1670014.460000 0.0154318 Long ABS-CBDO CORP IE N 2 2031-04-15 Fixed 1.65 N N N N N N STORE MASTER FUNDING I-VII 2018-1A N/A 86212VAE4 4034846.570000 PA USD 3913924.640000 0.0361667 Long ABS-O CORP US N 2 2048-10-20 Fixed 4.29 N N N N N N FREDDIE MAC REMICS 5122 N/A 3137H1AT3 33957189.880000 PA USD 6950452.700000 0.0642258 Long ABS-MBS USGSE US N 2 2051-07-25 Fixed 3.5 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAL0 5000000.000000 PA USD 4349491.000000 0.0401915 Long ABS-MBS CORP US N 2 2038-09-15 Floating 7.26248 N N N N N N FANNIE MAE REMICS 2017-13 N/A 3136AVFR5 13443847.820000 PA USD 1301554.030000 0.012027 Long ABS-MBS USGSE US N 2 2047-02-25 Floating 1.36673 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413V9 451977.650000 PA USD 364513.960000 0.0033683 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.80322 N N N N N N GNMA PASS THRU POOLS N/A 36202FJQ0 1359481.190000 PA USD 1319909.330000 0.0121966 Long ABS-MBS USGSE US N 2 2040-08-20 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 4385 N/A 3137BDTX4 2935733.250000 PA USD 2286234.270000 0.021126 Long ABS-MBS USGSE US N 2 2037-07-15 Floating 0 N N N N N N OXFORD FINANCE FUNDING 2022-1A LLC N/A 69145BAA4 12809166.860000 PA USD 12656552.040000 0.116953 Long ABS-O CORP US N 2 2030-02-15 Fixed 3.602 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-2 N/A 542514FT6 895467.430000 PA USD 876275.500000 0.0080972 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.89322 N N N N N N FHLMC PASS THRU POOLS N/A 3133CCPZ3 1937207.700000 PA USD 1882811.900000 0.0173982 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N AMERICAN HOME MTG INV TRUST 2005-1 N/A 02660TDF7 4788.480000 PA USD 4761.880000 0.000044 Long ABS-MBS CORP US N 2 2045-06-25 Floating 6.86204 N N N N N N FREDDIE MAC REMICS 5156 N/A 3137H2VR2 12105207.020000 PA USD 1592725.670000 0.0147176 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LLYV7 8806000.000000 PA USD 8938262.250000 0.0825941 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.23 N N N N N N GALAXY XV CLO LTD 2013-15A N/A 36318WAK6 4357437.710000 PA USD 4363907.980000 0.0403248 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.88751 N N N N N N FREDDIE MAC STRIPS 390 N/A 31325YX94 72616513.410000 PA USD 9102978.110000 0.0841162 Long ABS-MBS USGSE US N 2 2052-06-15 Fixed 2 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A N/A 37989AAG9 3200000.000000 PA USD 3215315.200000 0.0297112 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.08 N N N N N N FHLMC PASS THRU POOLS N/A 3133CJPU9 2497105.210000 PA USD 2475421.170000 0.0228742 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 3617GUYE8 274230.920000 PA USD 261764.660000 0.0024188 Long ABS-MBS USGSE US N 2 2048-07-15 Fixed 4 N N N N N N N/A N/A 000000000 333000000.000000 NC USD 33.300000 0.0000003 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 01/15/25-10Y LCH 2035-01-15 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-01-13 XXXX -2247716.700000 N N N FNMA PASS THRU POOLS N/A 3140K1AP1 5483993.750000 PA USD 4755983.600000 0.0439477 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3 N N N N N N PRKCM 2024-HOME1 TRUST N/A 69391XAA7 879192.620000 PA USD 890629.860000 0.0082299 Long ABS-MBS CORP US N 2 2059-05-25 Fixed 6.431 N N N N N N FANNIE MAE REMICS 2017-87 N/A 3136AYT86 2099379.990000 PA USD 347588.050000 0.0032119 Long ABS-MBS USGSE US N 2 2047-11-25 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 24800.270000 0.0002292 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 1400000.000000 USD 24800.270000 N N N FNMA PASS THRU POOLS N/A 3140LLUK5 7900000.000000 PA USD 7935179.890000 0.0733251 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 4.815 N N N N N N FREDDIE MAC REMICS 4154 N/A 3137AXS95 1722299.170000 PA USD 164782.010000 0.0015227 Long ABS-MBS USGSE US N 2 2043-01-15 Floating 1.43795 N N N N N N FNMA PASS THRU POOLS N/A 3140L86K1 515481.490000 PA USD 442722.240000 0.004091 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3 N N N N N N FREDDIE MAC STRIPS 205 N/A 3128CU3D6 89824.460000 PA USD 82717.990000 0.0007644 Long ABS-MBS USGSE US N 2 2029-09-01 None 0 N N N N N N FANNIE MAE REMICS 2016-63 N/A 3136ATXU3 388467.840000 PA USD 30029.110000 0.0002775 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2024-33 N/A 3136BSDZ5 115387321.230000 PA USD 116069548.770000 1.07254 Long ABS-MBS USGSE US N 2 2054-01-25 Floating 5.56879 N N N N N N MFA 2023-NQM4 TRUST N/A 55286LAA0 4398262.120000 PA USD 4419709.810000 0.0408404 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.105 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAF5 410000.000000 PA USD 410624.340000 0.0037944 Long ABS-O CORP US N 3 2054-11-25 Fixed 8.75 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2024-PT2 N/A 69546YAB7 1850000.000000 PA USD 1843479.710000 0.0170347 Long ABS-O CORP US N 3 2032-04-15 Fixed 10.273 N N N N N N FNMA PASS THRU POOLS N/A 3140NGED8 6393781.700000 PA USD 6340517.920000 0.0585896 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.5 N N N N N N JP MORGAN RESECURITIZATION TRUST SERIES 2009-9 2009-9 N/A 46633XAB1 3223613.960000 PA USD 2492174.990000 0.023029 Long ABS-MBS CORP US N 2 2036-09-26 Fixed 6 N N N N N N FREDDIE MAC REMICS 5481 N/A 3137HHQF1 8620720.240000 PA USD 8646318.610000 0.0798964 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.71879 N N N N N N VASA TRUST 2021-VASA N/A 92230AAE6 16314000.000000 PA USD 13346997.290000 0.123333 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.26248 N N N N N N LEHMAN XS TRUST 2007-15N N/A 52524VAQ2 1708636.790000 PA USD 1394421.220000 0.0128852 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.60219 N N N N N N FANNIE MAE REMICS 2013-10 N/A 3136ACBR1 535693.520000 PA USD 29479.960000 0.0002724 Long ABS-MBS USGSE US N 2 2042-01-25 Fixed 3.5 N N N N N N LAD AUTO RECEIVABLES TRUST 2024-2A N/A 505920AC2 3500000.000000 PA USD 3539465.300000 0.0327065 Long ABS-O CORP US N 2 2028-08-15 Fixed 5.61 N N N N N N SARANAC CLO II LTD 2014-3A N/A 803169AN1 1267507.210000 PA USD 1271756.410000 0.0117517 Long ABS-CBDO CORP JE N 2 2030-06-22 Floating 6.45372 N N N N N N FNMA PASS THRU POOLS N/A 3140XBLQ1 2625755.150000 PA USD 2357758.030000 0.0217869 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-145 N/A 38380BHF5 295071.060000 PA USD 12269.380000 0.0001134 Long ABS-MBS USGSE US N 2 2045-07-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140HNV66 1113915.000000 PA USD 1062639.030000 0.0098193 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140L2MB6 132123.170000 PA USD 114673.370000 0.0010596 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 3 N N N N N N VERUS SECURITIZATION TRUST 2023-8 N/A 92540DAA3 4344456.920000 PA USD 4380430.760000 0.0404774 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.25912 N N N N N N FANNIE MAE REMICS 2016-85 N/A 3136AUBW0 4493154.150000 PA USD 415283.370000 0.0038374 Long ABS-MBS USGSE US N 2 2046-11-25 Floating 1.31673 N N N N N N N/A N/A 000000000 354400000.000000 NC USD 373962.880000 0.0034556 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Purchased Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 12/18/25-1Y LCH 2026-12-18 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-12-16 XXXX 19562.880000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4 N/A 802919AC4 10000000.000000 PA USD 10032106.000000 0.0927018 Long ABS-O CORP US N 2 2029-01-16 Fixed 4.85 N N N N N N COUNTRYWIDE HOME EQUITY LOAN TR 2006-B N/A 126685CX2 131046.570000 PA USD 130772.540000 0.0012084 Long ABS-MBS CORP US N 2 2036-05-15 Floating 4.69157 N N N N N N FANNIE MAE-2020-42 N/A 3136B96V4 9744130.110000 PA USD 1363018.660000 0.012595 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140E0BY0 75290.090000 PA USD 69892.020000 0.0006458 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 35262.620000 0.0003258 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 2100000.000000 USD 35262.620000 N N N ACE SECURITIES CORP 2003-NC1 N/A 004421CN1 5286443.040000 PA USD 5065683.290000 0.0468095 Long ABS-MBS CORP US N 2 2033-07-25 Floating 5.13322 N N N N N N FANNIE MAE REMICS 2016-11 N/A 3136ARPK8 1856026.760000 PA USD 259027.470000 0.0023935 Long ABS-MBS USGSE US N 2 2046-03-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2013-31 N/A 3136ADFK0 1877805.960000 PA USD 50167.650000 0.0004636 Long ABS-MBS USGSE US N 2 2028-04-25 Fixed 3.5 N N N N N N LUMINENT MORTGAGE TRUST 2007-2 N/A 55027WAA0 23540.710000 PA USD 19023.400000 0.0001758 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.91322 N N N N N N FREDDIE MAC REMICS 4104 N/A 3137ATT36 1015382.820000 PA USD 994821.420000 0.0091927 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 5.11205 N N N N N N N/A N/A 000000000 1.000000 NC USD 7752032.730000 0.0716328 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 6577738.860000 USD 0.000000 USD 235400000.000000 USD 1174293.870000 N N N GNMA PASS THRU POOLS N/A 36202FHX7 1875520.620000 PA USD 1821121.130000 0.0168281 Long ABS-MBS USGSE US N 2 2040-07-20 Fixed 4.5 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-D N/A 22411JAB1 6500000.000000 PA USD 6484957.700000 0.0599243 Long ABS-O CORP US N 2 2029-03-15 Fixed 4.65 N N N N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 9771574.030000 PA USD 622086.740000 0.0057484 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.24207 N N N N N N FANNIE MAE REMICS 2017-42 N/A 3136AWY50 499318.010000 PA USD 315531.580000 0.0029157 Long ABS-MBS USGSE US N 2 2043-05-25 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05 N/A 38382YV75 1590886.640000 PA USD 1604920.810000 0.0148303 Long ABS-MBS USGSE US N 2 2073-01-20 Floating 5.4746 N N N N N N GNMA PASS THRU POOLS N/A 36179TXL4 217186.950000 PA USD 203521.870000 0.0018806 Long ABS-MBS USGSE US N 2 2048-05-20 Fixed 4.5 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAE4 3900000.000000 PA USD 3892203.120000 0.035966 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.26 N N N N N N FANNIE MAE REMICS 2013-54 N/A 3136AEUG0 100788.480000 PA USD 66425.160000 0.0006138 Long ABS-MBS USGSE US N 2 2043-06-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 3385 N/A 31397PAB6 18926.890000 PA USD 16830.980000 0.0001555 Long ABS-MBS USGSE US N 2 2037-11-15 None 0 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ1 N/A 70069FBW6 9202488.240000 PA USD 7801338.550000 0.0720884 Long ABS-MBS CORP US N 2 2034-09-25 Floating 6.55322 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 10567481.210000 PA USD 10590570.520000 0.0978623 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 5.77507 N N N N N N CROSS 2024-H2 MORTGAGE TRUST N/A 22757BAA2 7135981.220000 PA USD 7189973.480000 0.0664391 Long ABS-MBS CORP US N 2 2069-04-25 Fixed 6.093 N N N N N N FANNIE MAE REMICS 2016-17 N/A 3136ARWA2 683099.110000 PA USD 33773.310000 0.0003121 Long ABS-MBS USGSE US N 2 2046-04-25 Floating 1.45118 N N N N N N GNMA PASS THRU POOLS N/A 36196JRM0 681039.790000 PA USD 617850.140000 0.0057093 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N BAIN CAPITAL CREDIT CLO 2020-2 LTD N/A 05683EAW2 13300000.000000 PA USD 13336400.640000 0.123235 Long ABS-CBDO CORP KY N 2 2034-07-19 Floating 5.8574 N N N N N N EUROSAIL PLC 2007-5X N/A B29H4QII9 719483.650000 PA 871389.600000 0.0080521 Long ABS-MBS CORP GB N 2 2045-09-13 Floating 5.59618 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-ST3 N/A 91681EAA2 895160.390000 PA USD 877391.640000 0.0081076 Long ABS-O CORP US N 2 2030-05-20 Fixed 4.3 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH1 N/A 46630LBD5 4000000.000000 PA USD 4208125.200000 0.0388852 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.95322 N N N N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4 N/A 52608GAA9 1446120.390000 PA USD 1420097.020000 0.0131224 Long ABS-O CORP US N 2 2029-07-15 Fixed 5.7 N N N N N N N/A N/A 000000000 102700000.000000 NC USD 2638588.940000 0.0243819 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.92000 03/03/25-30Y LCH 2055-03-03 0.000000 USD 0.000000 USD N/A USD N/A 3.920000 USD 2025-02-27 XXXX -1646055.060000 N N N CONNECTICUT AVENUE SECURITIES TRUST 2022-R04 N/A 20753YCH3 4857771.100000 PA USD 4916400.510000 0.0454301 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 6.56879 N N N N N N FHLMC PASS THRU POOLS N/A 3133BPF52 2221156.740000 PA USD 2162424.220000 0.0199819 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36179SNU7 884529.650000 PA USD 777041.120000 0.0071803 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133ALUM8 647056.830000 PA USD 554324.220000 0.0051222 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2014-38 N/A 3136AKPN7 456870.680000 PA USD 65741.180000 0.0006075 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 4 N N N N N N CROSS 2024-H6 MORTGAGE TRUST N/A 227919AA5 4212312.980000 PA USD 4174682.700000 0.0385762 Long ABS-MBS CORP US N 2 2069-09-25 Fixed 5.129 N N N N N N FANNIE MAE REMICS 2013-31 N/A 3136ADGC7 416374.580000 PA USD 3704.480000 0.0000342 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 5457 N/A 3137HH4K4 37303028.540000 PA USD 36966637.290000 0.341591 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 5.66879 N N N N N N FANNIE MAE INTEREST STRIP 433 N/A 31423XYP0 4351259.950000 PA USD 527810.530000 0.0048772 Long ABS-MBS USGSE US N 2 2052-03-25 Fixed 2 N N N N N N N/A N/A 000000000 1.000000 NC USD -282344.580000 -0.002609 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -948976.890000 USD 3568536.010000 USD 666632.310000 N N N FREDDIE MAC 2469 N/A 31392RDB4 5376.500000 PA USD 5081.880000 0.000047 Long ABS-MBS USGSE US N 2 2032-07-15 None 0 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 3857981.790000 PA USD 2937935.690000 0.027148 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.89083 N N N N N N N/A N/A 000000000 153300000.000000 NC USD 15.330000 0.0000001 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.5000 01/07/25-10Y LCH 2035-01-07 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-01-03 XXXX -724327.170000 N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAF4 584000.000000 PA USD 583089.490000 0.005388 Long ABS-O CORP US N 3 2054-11-25 Fixed 8.75 N N N N N N FANNIE MAE REMICS 2021-63 N/A 3136BGT50 9380161.260000 PA USD 2022337.440000 0.0186874 Long ABS-MBS USGSE US N 2 2050-04-25 Fixed 3.5 N N N N N N HOME EQUITY PASS-THRU CERTS 2005-7 N/A 437084PA8 12257713.030000 PA USD 11546812.250000 0.106699 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.15822 N N N N N N FANNIE MAE REMICS 2021-28 N/A 3136BHMN6 7425005.590000 PA USD 3096207.280000 0.0286105 Long ABS-MBS USGSE US N 2 2051-05-25 Floating 0 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579ZD3 3772838.030000 PA USD 3555239.600000 0.0328522 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.81322 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF18 N/A 32029AAA5 1020654.850000 PA USD 973806.690000 0.0089985 Long ABS-MBS CORP US N 2 2037-12-25 Floating 4.67322 N N N N N N FNMA PASS THRU POOLS N/A 3140XPA41 972503.260000 PA USD 903437.650000 0.0083482 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2014-17 N/A 3136AJYB6 736075.700000 PA USD 16703.470000 0.0001543 Long ABS-MBS USGSE US N 2 2028-07-25 Fixed 3 N N N N N N N/A N/A 000000000 -80000000.000000 NC USD -634248.000000 -0.0058608 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.29000 03/21/25-10Y LCH 2035-03-21 0.000000 USD 0.000000 USD N/A USD N/A 4.290000 USD 2025-03-19 XXXX 5752.000000 N N N N/A N/A 000000000 27900000.000000 NC USD 538.470000 0.000005 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 03/04/25-7Y LCH 2032-03-04 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2025-02-28 XXXX -278461.530000 N N N N/A N/A 000000000 93100000.000000 NC USD 1694.420000 0.0000157 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.25000 03/18/25-7Y LCH 2032-03-18 0.000000 USD 0.000000 USD N/A USD N/A 2.250000 USD 2025-03-14 XXXX -575525.580000 N N N ATLAS SENIOR LOAN FUND LTD 2018-12A N/A 04942UAC0 10037612.260000 PA USD 10041780.680000 0.0927912 Long ABS-CBDO CORP KY N 2 2031-10-24 Floating 6.07637 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 7370144.930000 PA USD 7440176.050000 0.0687511 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A N/A 76088LAA6 10134203.660000 PA USD 9893916.120000 0.0914249 Long ABS-O CORP US N 2 2030-03-25 Fixed 2.65 N N N N N N FREDDIE MAC REMICS 3233 N/A 31397BYN5 3030.510000 PA USD 2596.530000 0.000024 Long ABS-MBS USGSE US N 2 2036-05-15 None 0 N N N N N N FREDDIE MAC REMICS 4731 N/A 3137FBQY5 339274.890000 PA USD 231093.940000 0.0021354 Long ABS-MBS USGSE US N 2 2042-10-15 Floating 0 N N N N N N GNMA PASS THRU POOLS N/A 36202FSE7 1440274.530000 PA USD 1398348.470000 0.0129215 Long ABS-MBS USGSE US N 2 2041-04-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H1WK2 8329867.360000 PA USD 7741381.390000 0.0715343 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N GOODGREEN TRUST 2018-1A N/A 38218GAA0 4506197.160000 PA USD 4067637.830000 0.0375871 Long ABS-O CORP KY N 2 2053-10-15 Variable 3.93 N N N N N N VEROS AUTO RECEIVABLES TRUST 2024-1 N/A 92512WAA5 1734042.430000 PA USD 1747461.840000 0.0161474 Long ABS-O CORP US N 2 2027-11-15 Fixed 6.28 N N N N N N N/A N/A 000000000 230100000.000000 NC USD 251039.100000 0.0023197 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.70000 09/29/25-1Y LCH 2026-09-29 0.000000 USD 0.000000 USD N/A USD N/A 4.700000 USD 2025-09-25 XXXX 145193.100000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAE0 843630.350000 PA USD 802166.590000 0.0074124 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.70322 N N N N N N FANNIE MAE REMICS 2018-35 N/A 3136B1C77 7514740.790000 PA USD 1301248.760000 0.0120242 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140QPYK7 9596043.490000 PA USD 9050094.350000 0.0836275 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.5 N N N N N N LENDMARK FUNDING TRUST 2024-1A N/A 52603DAA1 5400000.000000 PA USD 5465928.600000 0.050508 Long ABS-O CORP US N 2 2032-06-21 Fixed 5.53 N N N N N N UMBS PASS THRU POOLS N/A 01F020620 -42750000.000000 PA USD -33284883.240000 -0.307569 Short ABS-MBS USGSE US N 2 2055-02-15 Fixed 2 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAD2 10000000.000000 PA USD 8720264.000000 0.0805797 Long ABS-MBS CORP US N 2 2058-10-25 Variable 2.2012 N N N N N N WMALT MTGE PASS-THRU CERT 2005-10 N/A 93934FFZ0 564237.740000 PA USD 505751.110000 0.0046734 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.75 N N N N N N FNMA PASS THRU POOLS N/A 3138WJBM9 41922.220000 PA USD 39027.660000 0.0003606 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 4 N N N N N N GNRT-3A N/A 98625UBC5 31600000.000000 PA USD 31746095.020000 0.29335 Long ABS-CBDO CORP KY N 2 2036-10-20 Floating 6.4474 N N N N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A 30336CAC9 6600257.660000 PA USD 6641691.440000 0.0613726 Long ABS-O CORP US N 2 2027-11-15 Fixed 5.76 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-20 N/A 38378DLZ6 871368.260000 PA USD 62784.170000 0.0005802 Long ABS-MBS USGSE US N 2 2041-05-20 Floating 2.21526 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-121 N/A 38380YJ97 1429461.100000 PA USD 175854.160000 0.001625 Long ABS-MBS USGSE US N 2 2048-09-20 Floating 1.71526 N N N N N N CHASEFLEX TRUST 2007-M1 N/A 16165YAA0 2082581.040000 PA USD 1906174.350000 0.017614 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.75322 N N N N N N VMC FINANCE 2021-FL4 LLC N/A 91835RAC4 6000000.000000 PA USD 6017738.400000 0.055607 Long ABS-MBS CORP US N 2 2036-06-16 Floating 5.93969 N N N N N N FREDDIE MAC REMICS 3753 N/A 3137A3L31 1554441.640000 PA USD 1537989.270000 0.0142118 Long ABS-MBS USGSE US N 2 2040-11-15 Floating 5.26205 N N N N N N FNMA PASS THRU POOLS N/A 3140H96J7 195808.810000 PA USD 180917.110000 0.0016718 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140NTCG5 6354093.380000 PA USD 6513136.850000 0.0601847 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 6 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-PJ7 N/A 362949BR9 5789943.170000 PA USD 5808337.240000 0.053672 Long ABS-MBS CORP US N 2 2054-11-25 Floating 5.91011 N N N N N N FANNIE MAE REMICS 2020-47 N/A 3136BATP9 17867609.230000 PA USD 1844866.390000 0.0170475 Long ABS-MBS USGSE US N 2 2050-07-25 Floating 1.41673 N N N N N N FREDDIE MAC REMICS 3684 N/A 3137A06E0 543994.630000 PA USD 31553.920000 0.0002916 Long ABS-MBS USGSE US N 2 2036-11-15 Floating 1.65642 N N N N N N FREDDIE MAC 3200 N/A 31397AJ95 36657.940000 PA USD 30569.390000 0.0002825 Long ABS-MBS USGSE US N 2 2036-08-15 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36179QSL6 506950.640000 PA USD 515934.660000 0.0047675 Long ABS-MBS USGSE US N 2 2044-10-20 Floating 3.75 N N N N N N FREDDIE MAC 2259 N/A 3133TQAX5 6211.130000 PA USD 5673.650000 0.0000524 Long ABS-MBS USGSE US N 2 2030-10-15 None 0 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA12 N/A 761118MY1 3770241.490000 PA USD 1547135.560000 0.0142963 Long ABS-MBS CORP US N 2 2035-12-25 Variable 5.95635 N N N N N N FANNIE MAE REMICS 2018-85 N/A 3136B3QF0 7822419.330000 PA USD 1042782.470000 0.0096358 Long ABS-MBS USGSE US N 2 2048-12-25 Fixed 3 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-12 N/A 12667AAA4 9569708.130000 PA USD 8717107.420000 0.0805506 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.71322 N N N N N N MORGAN STANLEY MTGE LN TR 2006-2 N/A 61748HVH1 123534.370000 PA USD 116314.080000 0.0010748 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.35322 N N N N N N FREDDIE MAC REMICS 5039 N/A 3137F63T2 5945755.050000 PA USD 671895.890000 0.0062087 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N FANNIE MAE REMICS 2016-88 N/A 3136AUTM3 3999876.520000 PA USD 583295.590000 0.00539 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H18 N/A 38376R6Q4 232198.410000 PA USD 232013.420000 0.0021439 Long ABS-MBS USGSE US N 2 2067-08-20 Floating 5.36121 N N N N N N SCCU AUTO RECEIVABLES TRUST 2024-1A N/A 78436RAE0 10900000.000000 PA USD 10937868.780000 0.101071 Long ABS-O CORP US N 2 2029-06-15 Fixed 5.11 N N N N N N FANNIE MAE REMICS 2017-90 N/A 3136AYRB1 6105199.320000 PA USD 990620.480000 0.0091538 Long ABS-MBS USGSE US N 2 2047-11-25 Fixed 4 N N N N N N N/A N/A 000000000 96600000.000000 NC USD 301652.820000 0.0027874 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.75000 11/13/25-7Y LCH 2032-11-13 0.000000 USD 0.000000 USD N/A USD N/A 2.750000 USD 2025-11-10 XXXX -456657.180000 N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAD4 6395418.560000 PA USD 2779977.170000 0.0256884 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.55322 N N N N N N FREDDIE MAC 2416 N/A 31339DRH3 1768.590000 PA USD 1695.260000 0.0000157 Long ABS-MBS USGSE US N 2 2032-02-15 None 0 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL3 N/A 03880KAA2 2512937.720000 PA USD 2514509.840000 0.0232354 Long ABS-CBDO CORP KY N 2 2034-08-15 Floating 5.58157 N N N N N N UWM-2021-INV2 N/A 90354TAJ8 7562380.590000 PA USD 7085937.760000 0.0654777 Long ABS-MBS CORP US N 2 2051-09-25 Floating 5 N N N N N N FANNIE MAE REMICS 2018-3 N/A 3136B0UM6 2592619.130000 PA USD 2482121.700000 0.0229361 Long ABS-MBS USGSE US N 2 2046-02-25 Fixed 3 N N N N N N JP MORGAN MORTGAGE TRUST 2007-S3 N/A 46631NDT3 975959.630000 PA USD 501830.540000 0.0046372 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 3140NMXM4 1584843.700000 PA USD 1547034.810000 0.0142954 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5 N N N N N N COUNTRYWIDE HOME LOANS 2007-7 N/A 12544TAC8 4217924.250000 PA USD 2008358.730000 0.0185583 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 5.75 N N N N N N RESIDENTIAL ACCREDIT LOANS 2005-QA6 N/A 76110H6F1 52401.520000 PA USD 28793.740000 0.0002661 Long ABS-MBS CORP US N 2 2035-05-25 Floating 7.04662 N N N N N N FANNIE MAE REMICS 2017-97 N/A 3136B0DY9 34778233.060000 PA USD 33925564.690000 0.31349 Long ABS-MBS USGSE US N 2 2047-12-25 Floating 4.98327 N N N N N N FNMA PASS THRU POOLS N/A 3138ERM64 4189998.160000 PA USD 4042931.450000 0.0373588 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 3 N N N N N N STRUCTURED ASSET SEC CORP 2005-RF7 N/A 86359DWU7 4614532.250000 PA USD 24614.840000 0.0002275 Long ABS-O CORP US N 2 2035-11-25 Variable 0 N N N N N N FREDDIE MAC REMICS 4136 N/A 3137AWHG3 1030318.600000 PA USD 29366.140000 0.0002714 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 3 N N N N N N DC COMMERCIAL MORTGAGE TRUST 2023-DC N/A 24023AAA8 4300000.000000 PA USD 4413268.020000 0.0407809 Long ABS-MBS CORP US N 2 2040-09-12 Fixed 6.3143 N N N N N N FANNIE MAE REMICS 2016-32 N/A 3136ASVX1 579132.190000 PA USD 43202.050000 0.0003992 Long ABS-MBS USGSE US N 2 2045-10-25 Fixed 3 N N N N N N N/A N/A 000000000 -82300000.000000 NC USD -661206.430000 -0.0061099 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.13400 02/11/25-10Y LCH 2035-02-11 0.000000 USD 0.000000 USD N/A USD N/A 4.130000 USD 2025-02-07 XXXX 79082.070000 N N N FHLMC PASS THRU POOLS N/A 3133BGYZ5 3454635.210000 PA USD 3256332.340000 0.0300902 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H19 N/A 38382YKG7 2378621.050000 PA USD 2369057.800000 0.0218913 Long ABS-MBS USGSE US N 2 2071-12-20 Floating 5.4246 N N N N N N FREDDIE MAC STACR REMIC TRUST 2022-DNA4 N/A 35564KWS4 6173024.570000 PA USD 6273010.900000 0.0579658 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 6.76879 N N N N N N FREDDIE MAC STRIPS 363 N/A 31325XBP4 1318698.310000 PA USD 205061.310000 0.0018949 Long ABS-MBS USGSE US N 2 2048-09-15 Fixed 3 N N N N N N COLT 2022-5 MORTGAGE LOAN TRUST N/A 19688LAD4 4800000.000000 PA USD 4325472.960000 0.0399696 Long ABS-MBS CORP US N 2 2067-03-25 Variable 4.71427 N N N N N N FANNIE MAE REMICS 2012-63 N/A 3136A6TM6 796.670000 PA USD 647.050000 0.000006 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 4 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 10791335.170000 PA USD 10949349.450000 0.101178 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N JP MORGAN MORTGAGE TRUST 2024-10 N/A 46658LAX9 17055999.140000 PA USD 17100745.550000 0.15802 Long ABS-MBS CORP US N 2 2055-03-25 Floating 5.81879 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL4 N/A 16160NAB7 6258449.380000 PA USD 5584693.510000 0.0516054 Long ABS-MBS CORP US N 2 2064-12-25 Variable 3.375 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR12 N/A 45660N5H4 204962.560000 PA USD 159113.460000 0.0014703 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.23322 N N N N N N FNMA PASS THRU POOLS N/A 31418EJZ4 63176.990000 PA USD 59239.780000 0.0005474 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4 N N N N N N JP MORGAN MORTGAGE TRUST 2021-14 N/A 46653QAE5 75939992.550000 PA USD 2166818.590000 0.0200225 Long ABS-O CORP US N 2 2052-05-25 Variable 0.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132AA3S1 699941.040000 PA USD 672938.760000 0.0062183 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2024-77 N/A 3136BTQX4 123002277.050000 PA USD 122392001.250000 1.13097 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.66879 N N N N N N FREDDIE MAC REMICS 4073 N/A 3137ARXH4 260800.380000 PA USD 2674.430000 0.0000247 Long ABS-MBS USGSE US N 2 2027-05-15 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05 N/A 38382YV26 1704698.240000 PA USD 1696074.510000 0.0156726 Long ABS-MBS USGSE US N 2 2072-04-20 Floating 5.4046 N N N N N N FNMA PASS THRU POOLS N/A 3140JAZY7 500634.700000 PA USD 517578.280000 0.0047827 Long ABS-MBS USGSE US N 2 2048-12-01 Floating 6.847 N N N N N N FNMA PASS THRU POOLS N/A 3140LKYS6 3181011.570000 PA USD 3155211.500000 0.0291558 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 4.32 N N N N N N N/A N/A 000000000 1.000000 NC USD 2696840.450000 0.0249202 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-14 410290.000000 USD 0.000000 USD 46100000.000000 USD 2286550.450000 N N N FREDDIE MAC REMICS 4979 N/A 3137FTY27 3601381.520000 PA USD 446895.430000 0.0041295 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.36673 N N N N N N N/A N/A 000000000 9512.000000 NC USD -10696005.150000 -0.0988366 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2025-03-20 1034355692.260000 USD -10696005.150000 N N N GSMPS MORTGAGE LOAN TRUST 2005-RP2 N/A 36242DU35 2411199.660000 PA USD 2312147.580000 0.0213654 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.06398 N N N N N N FNMA PASS THRU POOLS N/A 3140HFFC8 1020498.550000 PA USD 946537.650000 0.0087465 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2016-42 N/A 3136AS2P0 1559237.330000 PA USD 248122.530000 0.0022928 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 4 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2 N/A 83611XAB0 2305588.960000 PA USD 1657515.340000 0.0153163 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.67322 N N N N N N FREDDIE MAC 2774 N/A 31394XGU4 6627.490000 PA USD 6328.380000 0.0000585 Long ABS-MBS USGSE US N 2 2032-12-15 None 0 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAB1 2288703.400000 PA USD 1636023.780000 0.0151177 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.81322 N N N N N N FNMA PASS THRU POOLS N/A 3140F3VB1 4896.930000 PA USD 4529.150000 0.0000419 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4 N N N N N N GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1 N/A 36262EAF3 2039000.000000 PA USD 1579230.380000 0.0145929 Long ABS-MBS CORP US N 2 2061-07-25 Variable 4.211 N N N N N N FANNIE MAE INTEREST STRIP 323 N/A 3136FAMT4 65773.150000 PA USD 5956.450000 0.000055 Long ABS-MBS USGSE US N 2 2032-01-25 Variable 5.5 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL2 N/A 161930AB8 9748913.410000 PA USD 8610449.930000 0.079565 Long ABS-MBS CORP US N 2 2064-08-25 Variable 3.25 N N N N N N PRET 2024-NPL9 LLC N/A 74143TAA7 11800000.000000 PA USD 11781126.960000 0.108864 Long ABS-MBS CORP US N 3 2054-12-25 Fixed 5.8514 N N N N N N GNMA PASS THRU POOLS N/A 36202FP75 1780125.840000 PA USD 1728308.580000 0.0159705 Long ABS-MBS USGSE US N 2 2041-02-20 Fixed 4.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168 N/A 38381BGP3 4517102.880000 PA USD 381678.030000 0.0035269 Long ABS-MBS USGSE US N 2 2048-12-20 Floating 1.61526 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XWQ9 1864986.430000 PA USD 287894.430000 0.0026603 Long ABS-MBS USGSE US N 2 2049-04-15 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3620AGBG9 30673.780000 PA USD 29401.310000 0.0002717 Long ABS-MBS USGSE US N 2 2041-12-20 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QT4L0 22439101.650000 PA USD 22974070.030000 0.212292 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-53 N/A 38380V7L9 4934280.900000 PA USD 4551103.890000 0.0420545 Long ABS-MBS USGSE US N 2 2048-04-20 Floating 1.76526 N N N N N N GNMA PASS THRU POOLS N/A 36202FHY5 3578.590000 PA USD 3567.610000 0.000033 Long ABS-MBS USGSE US N 2 2040-07-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36196PG71 734461.890000 PA USD 666292.960000 0.0061569 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC -25849.640000 -0.0002389 N/A DFE CA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 1025307.900000 USD 1436000.000000 CAD 2025-01-15 -25849.640000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-168 N/A 38380TTB2 24686.890000 PA USD 20520.850000 0.0001896 Long ABS-MBS USGSE US N 2 2046-11-20 Floating 0.66574 N N N N N N GNMA PASS THRU POOLS N/A 36202FUF1 7150265.960000 PA USD 6902617.640000 0.0637837 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 21H050623 268500000.000000 PA USD 260371581.360000 2.40597 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 5 N N N N N N PRPM 2024-RCF2 LLC N/A 693987AA7 1856891.890000 PA USD 1796416.820000 0.0165998 Long ABS-MBS CORP US N 2 2054-03-25 Fixed 3.75 N N N N N N FNMA PASS THRU POOLS N/A 3140F1U26 58858.720000 PA USD 54692.660000 0.0005054 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4 N N N N N N GS MORTGAGE-BACKED SECURITIES CORP TRUST 2020-PJ6 N/A 36260RAT6 16175855.950000 PA USD 213642.620000 0.0019742 Long ABS-O CORP US N 2 2051-05-25 Variable 0.25 N N N N N N TROPIC CDO CORP 2003-2A N/A 89707UAA0 81840.220000 PA USD 81840.220000 0.0007562 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 5.66751 N N N N N N GSAMP TRUST 2005-HE4 N/A 362341KF5 4400000.000000 PA USD 3992662.080000 0.0368943 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.33822 N N N N N N FREDDIE MAC REMICS 5003 N/A 3137FVJ60 7528265.230000 PA USD 860662.150000 0.007953 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 1.41673 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAE2 3600000.000000 PA USD 3603103.920000 0.0332945 Long ABS-O CORP US N 2 2028-07-17 Fixed 4.75 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ47 N/A 3137HAMP8 9387000.000000 PA USD 9581661.040000 0.0885395 Long ABS-MBS USGSE US N 2 2031-06-25 Fixed 5.43 N N N N N N FANNIE MAE REMICS 2021-9 N/A 3136BD5Q7 35347539.810000 PA USD 5599304.810000 0.0517405 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 3 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q010 N/A 3137FMUK6 109657.740000 PA USD 109603.010000 0.0010128 Long ABS-MBS USGSE US N 2 2047-12-25 Variable 7.63389 N N N N N N GNMA PASS THRU POOLS N/A 36193TAF4 627599.930000 PA USD 553851.100000 0.0051179 Long ABS-MBS USGSE US N 2 2046-04-20 Fixed 3.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797ML8 376000.000000 PA USD 373539.080000 0.0034517 Long DBT UST US N 2 2025-02-27 None 0 N N N N N N FANNIE MAE REMICS 2019-9 N/A 3136B33L2 492140.100000 PA USD 486461.890000 0.0044952 Long ABS-MBS USGSE US N 2 2049-03-25 Floating 5.36896 N N N N N N CREDIT SUISSE MORTGAGE TRUST 2013-MH1 N/A 12647RAA2 1997820.730000 PA USD 1547167.210000 0.0142966 Long ABS-MBS CORP US N 2 2053-05-27 Variable 4.69899 N N N N N N FANNIEMAE STRIP 419 N/A 31395Q5Q9 1061501.970000 PA USD 146272.090000 0.0013516 Long ABS-MBS USGSE US N 2 2043-11-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 21H060622 40500000.000000 PA USD 40713574.320000 0.376214 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 6 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2004-1 N/A 885220EU3 18.190000 PA USD 18.180000 0.0000002 Long ABS-MBS CORP US N 2 2044-03-25 Floating 5.35322 N N N N N N FREDDIE MAC REMICS 4748 N/A 3137FCZB3 1681174.120000 PA USD 1634270.880000 0.0151015 Long ABS-MBS USGSE US N 2 2047-08-15 Floating 5.01205 N N N N N N TOWD POINT MORTGAGE TRUST 2018-3 N/A 89175MAA1 14421054.870000 PA USD 14069674.330000 0.130011 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF3 N/A 61911GAA2 3711319.990000 PA USD 3633849.900000 0.0335786 Long ABS-MBS CORP US N 2 2042-05-25 Floating 4.76 N N N N N N AMERIQUEST MTGE SECURITIES INC 2005-R11 N/A 03072SV51 5000000.000000 PA USD 4314556.500000 0.0398687 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.47322 N N N N N N FANNIE MAE REMICS 2010-133 N/A 31398N6F6 100000.000000 PA USD 94901.960000 0.0008769 Long ABS-MBS USGSE US N 2 2040-11-25 Fixed 4 N N N N N N BAIN CAPITAL CREDIT CLO 2021-4 LTD N/A 05685AAQ1 12000000.000000 PA USD 12025457.760000 0.111121 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.75924 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2019-SL1 N/A 36257EAH6 18306000.000000 PA USD 17497923.730000 0.16169 Long ABS-MBS CORP US N 2 2059-01-25 Variable 3.625 N N N N N N FANNIE MAE REMICS 2022-4 N/A 3136BLJ76 11676744.160000 PA USD 1448228.040000 0.0133824 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 3 N N N N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-OA2 N/A 93935QAB3 1241751.290000 PA USD 1022690.470000 0.0094502 Long ABS-MBS CORP US N 2 2047-01-25 Floating 5.52522 N N N N N N FANNIE MAE REMICS 2013-86 N/A 3136AF2R4 374504.090000 PA USD 33083.020000 0.0003057 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXK0 2032884.950000 PA USD 1905886.700000 0.0176114 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140NVYJ0 3991173.010000 PA USD 4059290.400000 0.0375099 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 5.2 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9 N/A 07389MAB3 1077340.480000 PA USD 1054343.140000 0.0097427 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.75322 N N N N N N FANNIE MAE REMICS 2020-60 N/A 3136BBZX3 4708182.360000 PA USD 968975.950000 0.0089538 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 4 N N N N N N GCAT 2024-NQM2 TRUST N/A 36831CAA0 5201387.760000 PA USD 5232259.040000 0.0483488 Long ABS-MBS CORP US N 2 2059-06-25 Fixed 6.085 N N N N N N N/A N/A 000000000 1.000000 NC USD 15531883.550000 0.143523 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-02-09 1891175.000000 USD 0.000000 USD 264500000.000000 USD 13640708.550000 N N N FANNIE MAE REMICS 2017-16 N/A 3136AVZF9 255693.430000 PA USD 157054.680000 0.0014513 Long ABS-MBS USGSE US N 2 2047-03-25 Floating 0.20301 N N N N N N N/A N/A 000000000 1.000000 NC USD 14491563.190000 0.133909 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-05-04 454425.620000 USD 0.000000 USD 905300000.000000 USD 14037137.570000 N N N GOVT NATL MORTGAGE ASSOC SERIES 2007-18 N/A 38375JD69 440540.940000 PA USD 410782.220000 0.0037958 Long ABS-MBS USGSE US N 2 2035-03-20 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140XL5X2 3657888.120000 PA USD 3516022.230000 0.0324899 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 4.5 N N N N N N UMBS PASS THRU POOLS N/A 01F052615 -53000000.000000 PA USD -52305953.340000 -0.483334 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 5.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040610 -15000000.000000 PA USD -13718019.000000 -0.126762 Short ABS-MBS USGSE US N 2 2055-01-14 Fixed 4 N N N N N N N/A N/A 000000000 95400000.000000 NC USD 686.880000 0.0000063 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 02/20/25-7Y LCH 2032-02-20 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2025-02-18 XXXX -848373.120000 N N N PRET 2024-NPL1 LLC N/A 69381VAA3 4355058.490000 PA USD 4398744.080000 0.0406467 Long ABS-MBS CORP US N 2 2054-01-25 Fixed 7.1429 N N N N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 2202690.070000 PA USD 2052011.710000 0.0189616 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 208613.820000 PA USD 178730.770000 0.0016516 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.94328 N N N N N N JP MORGAN MORTGAGE TRUST 2021-13 N/A 46592XBX1 7633827.090000 PA USD 1002254.320000 0.0092613 Long ABS-O CORP US N 2 2052-04-25 Variable 2.5 N N N N N N OFSI BSL X LTD N/A 67115PAW5 13000000.000000 PA USD 13026373.100000 0.12037 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.82429 N N N N N N FNMA PASS THRU POOLS N/A 3140X4F76 5304876.710000 PA USD 4927706.710000 0.0455345 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N N/A N/A 000000000 -156323663.480000 PA USD -156602093.290000 -1.44708 Short RA US N 2 Reverse repurchase N 4.580000 2025-01-14 167668584.580000 USD 160006526.970000 USD AMBS N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-D N/A 83207QAA7 27902179.450000 PA USD 27954465.340000 0.258314 Long ABS-O CORP US N 2 2053-07-15 Fixed 5.38 N N N N N N FNMA PASS THRU POOLS N/A 3140LKQC0 4005000.000000 PA USD 3895259.920000 0.0359942 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 4.49 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2017-ASHF N/A 61691KAJ0 4000000.000000 PA USD 3862926.400000 0.0356954 Long ABS-MBS CORP US N 2 2034-11-15 Floating 6.095 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 453958.720000 PA USD 448860.850000 0.0041477 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.66322 N N N N N N ACE SECURITIES CORP 2005-HE1 N/A 004421KY8 8615915.530000 PA USD 8212425.310000 0.075887 Long ABS-MBS CORP US N 2 2035-02-25 Floating 5.62322 N N N N N N NOVASTAR MORTGAGE FUNDING TRUST SERIES 2004-3 N/A 66987XFU4 119859.750000 PA USD 103993.820000 0.000961 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.55322 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAB6 1355796.110000 PA USD 1305190.750000 0.0120606 Long ABS-O CORP US N 2 2047-12-26 Fixed 4.13 N N N N N N FREDDIE MAC REMICS 5485 N/A 3137HHLA7 4927995.950000 PA USD 4955465.590000 0.0457911 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.76879 N N N N N N PRPM 2024-4 LLC N/A 74390EAA0 1143565.060000 PA USD 1147131.380000 0.0106001 Long ABS-MBS CORP US N 2 2029-08-25 Fixed 6.414 N N N N N N FNMA PASS THRU POOLS N/A 3140F97D1 11413.450000 PA USD 10562.520000 0.0000976 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140LLVD0 2226759.210000 PA USD 2316593.910000 0.0214065 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 5.59 N N N N N N FREDDIE MAC REMICS 4438 N/A 3137BGLL1 589088.320000 PA USD 33922.420000 0.0003135 Long ABS-MBS USGSE US N 2 2038-11-15 Floating 1.69514 N N N N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM3 N/A 61776UAA5 13734264.480000 PA USD 13616053.670000 0.125819 Long ABS-MBS CORP US N 2 2069-07-25 Variable 5.044 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAD0 544000.000000 PA USD 544828.390000 0.0050345 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.75 N N N N N N MORGAN STANLEY IXIS RE CAP TR 2006-2 N/A 617463AP9 9293808.010000 PA USD 2970943.240000 0.027453 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.52322 N N N N N N FANNIE MAE REMICS 2006-106 N/A 31396LNJ5 433579.130000 PA USD 389953.530000 0.0036034 Long ABS-MBS USGSE US N 2 2033-10-25 None 0 N N N N N N FREDDIE MAC REMICS 5184 N/A 3137H4UU2 16215067.930000 PA USD 2686870.810000 0.0248281 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 5087 N/A 3137FFMC8 8331423.260000 PA USD 1418301.500000 0.0131058 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 3 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB N/A 12668BXS7 165145.890000 PA USD 69905.500000 0.000646 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.15322 N N N N N N FANNIE MAE REMICS 2024-79 N/A 3136BTLY7 41116625.270000 PA USD 40890216.570000 0.377847 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.66879 N N N N N N ING INVESTMENT MANAGEMENT CLO LTD 2012-4A N/A 92916GBF0 4000000.000000 PA USD 4010757.200000 0.0370615 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.36751 N N N N N N N/A N/A 000000000 183500000.000000 NC USD 65839.800000 0.0006084 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 11/05/25-1Y LCH 2026-11-05 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-11-03 XXXX -244275.200000 N N N CITIGROUP MORTGAGE LOAN TRUST 2024-INV3 N/A 17332ACD0 98308854.730000 PA USD 100514757.970000 0.928808 Long ABS-MBS CORP US N 2 2054-10-25 Variable 0 N N N N N N PRP ADVISORS LLC 2024-RCF4 N/A 74448JAA1 880619.300000 PA USD 854021.160000 0.0078916 Long ABS-MBS CORP US N 2 2054-07-25 Fixed 4 N N N N N N FANNIE MAE INTEREST STRIP 430 N/A 31424QKY0 4250266.420000 PA USD 611423.730000 0.0056499 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140EYAF8 44587.330000 PA USD 41421.810000 0.0003828 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DPPU6 21967604.300000 PA USD 22107018.840000 0.20428 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N N/A N/A 000000000 173000000.000000 NC USD 1031633.600000 0.0095328 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.08100 12/10/25-7Y LCH 2032-12-10 0.000000 USD 0.000000 USD N/A USD N/A 3.080000 USD 2025-12-08 XXXX -1061666.400000 N N N FHLMC PASS THRU POOLS N/A 3132DWLU5 135407672.490000 PA USD 136132624.860000 1.25794 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140J55F2 794857.230000 PA USD 816827.840000 0.0075479 Long ABS-MBS USGSE US N 2 2043-09-01 Floating 6.661 N N N N N N LAD AUTO RECEIVABLES TRUST 2024-2A N/A 505920AD0 1200000.000000 PA USD 1214627.040000 0.0112238 Long ABS-O CORP US N 2 2029-07-16 Fixed 5.46 N N N N N N FANNIE MAE INTEREST STRIP 418 N/A 31395Q3F5 12918131.710000 PA USD 2163677.900000 0.0199935 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2014-45 N/A 3136AKUC5 513441.860000 PA USD 30176.110000 0.0002788 Long ABS-MBS USGSE US N 2 2044-08-25 Floating 1.57824 N N N N N N FNMA PASS THRU POOLS N/A 3140XKHQ6 17536118.820000 PA USD 16479965.560000 0.152283 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2014-42 N/A 3136AKPR8 603164.450000 PA USD 24675.280000 0.000228 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 1.28333 N N N N N N STRUCTURED ASSET SECUR CORP 2006-WF4 N/A 863576DL5 377123.310000 PA USD 374378.530000 0.0034595 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.45822 N N N N N N CSMC 2021-INV2 TRUST N/A 12659TAC9 6046650.540000 PA USD 5043477.350000 0.0466043 Long ABS-MBS CORP US N 2 2056-11-25 Fixed 3 N N N N N N N/A N/A 000000000 -10500000.000000 NC USD -32060.700000 -0.0002963 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JAN 30YR N/A 96.520000 USD 2025-01-07 XXXX 12236.180000 N N N FREDDIE MAC REMICS 4388 N/A 3137BDGK6 1014676.140000 PA USD 105427.790000 0.0009742 Long ABS-MBS USGSE US N 2 2042-08-15 Floating 1.28795 N N N N N N GSAMP TRUST 2006-HE6 N/A 36245AAC0 9865468.560000 PA USD 7891201.840000 0.0729188 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.75322 N N N N N N FHLMC PASS THRU POOLS N/A 3132QWFX2 1302637.200000 PA USD 1219667.780000 0.0112704 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4 N N N N N N JP MORGAN MORTGAGE TRUST 2021-INV2 N/A 46653TBU2 9737461.840000 PA USD 1267492.300000 0.0117123 Long ABS-O CORP US N 2 2051-12-25 Variable 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08 N/A 38382Y2S1 101382776.730000 PA USD 102952303.770000 0.951332 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 5.7046 N N N N N N FANNIE MAE REMICS 2021-3 N/A 3136BDYR3 20519929.220000 PA USD 960002.320000 0.0088709 Long ABS-MBS USGSE US N 2 2036-02-25 Fixed 1.5 N N N N N N GNMA PASS THRU POOLS N/A 36179W2V9 34524883.440000 PA USD 29970686.390000 0.276945 Long ABS-MBS USGSE US N 2 2052-04-20 Fixed 3 N N N N N N FREDDIE MAC REMICS 5070 N/A 3137F9XF3 27888917.410000 PA USD 5012388.670000 0.046317 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 3 N N N N N N N/A N/A 000000000 186000000.000000 NC USD 56934.600000 0.0005261 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 10/21/25-1Y LCH 2026-10-21 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-10-17 XXXX -315065.400000 N N N N/A N/A 000000000 -103500000.000000 NC USD -3508.650000 -0.0000324 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Written UMBS PASS THRU POOLS FNMA TBA 5.0% FEB 30YR N/A 100.530000 USD 2025-02-06 XXXX 125866.350000 N N N MERRILL LYNCH ALTERNATIVE NOTE ASSET TRUST SERIES 2007-OAR5 N/A 590227AA2 4582765.560000 PA USD 1293602.440000 0.0119536 Long ABS-MBS CORP US N 2 2047-10-25 Variable 3.82819 N N N N N N MASTR ASSET SECURITIZATION TRUST 2007-2 N/A 57646NAC3 432569.130000 PA USD 226680.460000 0.0020946 Long ABS-MBS CORP US N 2 2038-01-25 Fixed 6.25 N N N N N N GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1 N/A 36262EAD8 17128000.000000 PA USD 13154853.810000 0.121558 Long ABS-MBS CORP US N 2 2061-07-25 Variable 2.3 N N N N N N FHLMC PASS THRU POOLS N/A 3132Y0UU2 1081107.040000 PA USD 1004097.710000 0.0092784 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N SLM STUDENT LOAN TRUST 2004-2X N/A B00KKMII6 666445.030000 PA 658265.920000 0.0060827 Long ABS-O CORP US N 2 2039-07-25 Floating 3.636 N N N N N N FREDDIE MAC REMICS 5092 N/A 3137FYFG6 6399478.190000 PA USD 252169.520000 0.0023302 Long ABS-MBS USGSE US N 2 2031-04-25 Fixed 2 N N N N N N FREDDIE MAC REMICS 4194 N/A 3137B1JU7 361284.890000 PA USD 211951.610000 0.0019585 Long ABS-MBS USGSE US N 2 2043-04-15 Floating 0 N N N N N N FNMA PASS THRU POOLS N/A 3140LLZ38 914663.410000 PA USD 951218.640000 0.0087897 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.91 N N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4 N/A 12498QAC0 4154961.900000 PA USD 2754260.670000 0.0254508 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.75322 N N N N N N FANNIE MAE REMICS 2018-95 N/A 3136B3UE8 1415317.420000 PA USD 116611.540000 0.0010776 Long ABS-MBS USGSE US N 2 2049-01-25 Floating 1.46673 N N N N N N FREDDIE MAC REMICS 4362 N/A 3137BCG36 526861.900000 PA USD 363808.780000 0.0033618 Long ABS-MBS USGSE US N 2 2043-05-15 Floating 0 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A N/A 36270YAC6 10200000.000000 PA USD 10213127.400000 0.0943746 Long ABS-O CORP US N 2 2027-10-15 Fixed 4.76 N N N N N N COUNTRYWIDE HOME LOANS 2007-HY7 N/A 12544HAY6 876694.910000 PA USD 814647.530000 0.0075278 Long ABS-MBS CORP US N 2 2037-11-25 Variable 4.82779 N N N N N N FNMA PASS THRU POOLS N/A 3140LPA28 405951.800000 PA USD 348158.420000 0.0032172 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N FREDDIE MAC REMICS 2978 N/A 31395UKP5 6240.410000 PA USD 6386.560000 0.000059 Long ABS-MBS USGSE US N 2 2035-05-15 Fixed 5.5 N N N N N N GREYWOLF CLO III LTD 2020-3RA N/A 39809CAY0 18900000.000000 PA USD 18966210.670000 0.175258 Long ABS-CBDO CORP KY N 2 2033-04-22 Floating 6.18324 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWJ61 2577891.870000 PA USD 2633424.460000 0.0243342 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 1109087.880000 PA USD 1069178.130000 0.0098798 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N FANNIE MAE REMICS 2021-75 N/A 3136BJR80 42509289.150000 PA USD 7833603.300000 0.0723865 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36179T4E2 457186.760000 PA USD 435651.880000 0.0040256 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N LA HIPOTECARIA SA 2019-1A N/A 50346WAA5 23891929.950000 PA USD 23065736.740000 0.213139 Long ABS-MBS CORP US N 3 2046-09-29 Fixed 4.25 N N N N N N GNMA PASS THRU POOLS N/A 36179XNB8 927883.180000 PA USD 805494.120000 0.0074432 Long ABS-MBS USGSE US N 2 2052-12-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140L7Y55 930961.620000 PA USD 799421.150000 0.0073871 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 3 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-4R N/A 12639QAA4 460852.670000 PA USD 395148.810000 0.0036514 Long ABS-MBS CORP US N 2 2036-10-26 Fixed 5.16896 N N N N N N FANNIE MAE REMICS 2012-145 N/A 3136AAZ32 303.030000 PA USD 204.300000 0.0000019 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 3 N N N N N N MASTR ASSET BACKED SEC TRUST 2006-WMC1 N/A 57643LRK4 4694162.340000 PA USD 1699623.810000 0.0157054 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.81322 N N N N N N FREDDIE MAC STRIPS 390 N/A 31325YYN2 49635288.350000 PA USD 6484422.070000 0.0599194 Long ABS-MBS USGSE US N 2 2052-04-15 Fixed 2 N N N N N N FREDDIE MAC REMICS 4024 N/A 3137ANLB9 400000.000000 PA USD 326498.880000 0.003017 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 3.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB N/A 021468AB9 1371542.720000 PA USD 571387.710000 0.0052799 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.85322 N N N N N N CSMC 2021-RPL6 TRUST N/A 12657GAA3 540193.470000 PA USD 482085.940000 0.0044547 Long ABS-MBS CORP US N 2 2060-10-25 Variable 2 N N N N N N JEFFERIES & CO 2008-R1 N/A 472320AA8 448206.030000 PA USD 372226.770000 0.0034396 Long ABS-MBS CORP US N 2 2047-06-25 Floating 8.72489 N N N N N N FANNIE MAE INTEREST STRIP 418 N/A 31395Q2T6 2716167.370000 PA USD 448990.940000 0.0041489 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3138Y4DA4 50732.270000 PA USD 47195.170000 0.0004361 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 31346YFQ1 486418.850000 PA USD 420135.600000 0.0038823 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3 N N N N N N FREDDIE MAC REMICS 4059 N/A 3137AQZX9 563821.030000 PA USD 481664.130000 0.0044508 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 2.15963 N N N N N N WASHINGTON MUTUAL 2007-OA3 N/A 93364AAB8 520624.080000 PA USD 436214.150000 0.0040308 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.59522 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H09 N/A 38383XNS9 7297190.410000 PA USD 7335791.090000 0.0677865 Long ABS-MBS USGSE US N 2 2073-04-20 Floating 5.4046 N N N N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAC6 1434844.950000 PA USD 388246.230000 0.0035876 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.93322 N N N N N N GNMA PASS THRU POOLS N/A 3617KJKR4 53410.640000 PA USD 47969.170000 0.0004433 Long ABS-MBS USGSE US N 2 2049-06-15 Fixed 3.5 N N N N N N FREMONT HOME LOAN TRUST 2006-B N/A 35729QAD0 24547100.240000 PA USD 7645771.230000 0.0706509 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.77322 N N N N N N FANNIE MAE REMICS 2018-94 N/A 3136B3XP0 38348.000000 PA USD 27205.260000 0.0002514 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 0 N N N N N N FREDDIE MAC REMICS 5167 N/A 3137H3M33 15049222.320000 PA USD 2130351.360000 0.0196855 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3 N N N N N N FREDDIE MAC STRIPS 389 N/A 31325YRZ3 108108728.770000 PA USD 18961653.730000 0.175215 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 3 N N N N N N N/A N/A 000000000 -354400000.000000 NC USD -180814.880000 -0.0016708 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Put Written Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 12/18/25-1Y LCH 2026-12-18 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-12-16 XXXX -7158.880000 N N N FHLMC PASS THRU POOLS N/A 3133KLLS4 50213408.770000 PA USD 42706452.440000 0.39463 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140HEM41 109956.160000 PA USD 106980.550000 0.0009886 Long ABS-MBS USGSE US N 2 2048-06-01 Floating 3.975 N N N N N N FREDDIE MAC REMICS 4146 N/A 3137AXGY3 1144532.250000 PA USD 814917.720000 0.0075303 Long ABS-MBS USGSE US N 2 2042-12-15 Floating 0 N N N N N N TIMES SQUARE HOTEL TRUST N/A 887367AA8 830341.190000 PA USD 834570.280000 0.0077119 Long DBT CORP US N 2 2026-08-01 Fixed 8.528 N N N N N N FANNIE MAE REMICS 2016-79 N/A 3136AUHB0 1213705.160000 PA USD 117562.760000 0.0010863 Long ABS-MBS USGSE US N 2 2046-11-25 Floating 1.36673 N N N N N N FREDDIE MAC REMICS 3805 N/A 3137A7D56 77059.340000 PA USD 55919.870000 0.0005167 Long ABS-MBS USGSE US N 2 2041-02-15 Floating 0.32385 N N N N N N FNMA PASS THRU POOLS N/A 31417EQ38 3168544.090000 PA USD 2949039.650000 0.0272506 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 3316 N/A 31397HKD9 2036.800000 PA USD 1633.510000 0.0000151 Long ABS-MBS USGSE US N 2 2037-05-15 None 0 N N N N N N FANNIE MAE REMICS 2024-38 N/A 3136BR4S3 9811669.470000 PA USD 9838873.300000 0.0909163 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 5.65448 N N N N N N FREDDIE MAC REMICS 3621 N/A 31398W2S2 135820.430000 PA USD 7649.270000 0.0000707 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 0.98704 N N N N N N FREDDIE MAC 2189 N/A 3133TLXZ6 13905.320000 PA USD 13188.960000 0.0001219 Long ABS-MBS USGSE US N 2 2027-07-15 None 0 N N N N N N FHLMC PASS THRU POOLS N/A 3133KHLP9 5384123.640000 PA USD 4877145.510000 0.0450673 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2024-5 N/A 3136BQ3W7 22115751.400000 PA USD 4012573.570000 0.0370782 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH N/A 46654EAA9 1520000.000000 PA USD 1509821.170000 0.0139515 Long ABS-MBS CORP US N 2 2038-06-15 Floating 5.52248 N N N N N N CARRINGTON MTGE LOAN TRUST 2007-RFC1 N/A 144526AD2 11809000.000000 PA USD 10401167.630000 0.0961121 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.67322 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-CIP N/A 12434FAA5 13984105.690000 PA USD 13990788.690000 0.129282 Long ABS-MBS CORP US N 2 2038-12-15 Floating 5.43248 N N N N N N PAGAYA AI DEBT TRUST 2023-8 N/A 694960AC9 5374059.120000 PA USD 5534985.320000 0.0511461 Long ABS-O CORP US N 2 2031-06-16 Fixed 9.538 N N N N N N GNMA PASS THRU POOLS N/A 36241LKU9 89942.600000 PA USD 86132.330000 0.0007959 Long ABS-MBS USGSE US N 2 2040-06-15 Fixed 4.5 N N N N N N N/A N/A 000000000 156000000.000000 NC USD 458640.000000 0.0042381 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% FEB 30YR N/A 97.770000 USD 2025-02-06 XXXX 214890.000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2005-22 N/A 38374KJ79 1093958.960000 PA USD 813.140000 0.0000075 Long ABS-MBS USGSE US N 2 2035-03-16 Floating 1.68843 N N N N N N FNMA PASS THRU POOLS N/A 3140J8LH4 7931789.830000 PA USD 7639494.570000 0.0705929 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 4 N N N N N N PREFERRED TERM SECURITIES XVIII LTD / PREFERRED TERM SECURITIES XVIII INC N/A 74042WAA2 18542.950000 PA USD 18542.950000 0.0001713 Long DBT CORP KY N 2 2035-09-23 Floating 5.03706 N N N N N N CHASEFLEX TRUST 2007-1 N/A 16165VAD0 4743108.660000 PA USD 1243914.400000 0.0114944 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.80322 N N N N N N FNMA PASS THRU POOLS N/A 31418EGF1 1630804.390000 PA USD 1529176.310000 0.0141304 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4 N N N N N N COUNTRYWIDE HOME LOANS 2007-4 N/A 12544RAB4 22917.160000 PA USD 9514.270000 0.0000879 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 5.75 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-A N/A 21050QAC1 1554000.000000 PA USD 1551577.160000 0.0143374 Long ABS-O CORP US N 3 2054-11-25 Fixed 5.45 N N N N N N N/A N/A 000000000 103900000.000000 NC USD 3605.330000 0.0000333 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 03/12/25-7Y LCH 2032-03-12 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2025-03-10 XXXX -700233.380000 N N N RESIDENTIAL ACCREDIT LOANS 2006-QS4 N/A 749228AH5 121978.300000 PA USD 102257.350000 0.0009449 Long ABS-MBS CORP US N 2 2036-04-25 Floating 8 N N N N N N FNMA PASS THRU POOLS N/A 3140XH6Q5 45777183.500000 PA USD 37668144.550000 0.348073 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132AEQW9 23419238.360000 PA USD 21751428.870000 0.200994 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DPQG6 24329491.540000 PA USD 24477680.280000 0.226186 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N CSMC 2021-RPL3 TRUST N/A 12661GAD1 1000000.000000 PA USD 810869.700000 0.0074929 Long ABS-MBS CORP US N 2 2060-01-25 Fixed 3.375 N N N N N N COUNTRYWIDE HOME LOANS 2007-9 N/A 12544XAX3 1264999.990000 PA USD 601885.100000 0.0055617 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75 N N N N N N CRSNT TRUST 2021-MOON N/A 22877LAE7 10913000.000000 PA USD 10758515.570000 0.0994142 Long ABS-MBS CORP US N 2 2036-04-15 Floating 6.06448 N N N N N N FNMA PASS THRU POOLS N/A 3140GN6Z1 16622.820000 PA USD 15421.490000 0.0001425 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N CSMC 2021-INV1 TRUST N/A 12661XAC6 1907976.550000 PA USD 1527593.380000 0.0141157 Long ABS-MBS CORP US N 2 2056-07-25 Variable 2.5 N N N N N N FREDDIE MAC REMICS 5069 N/A 3137F9CZ2 20786373.210000 PA USD 3551225.070000 0.0328151 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3 N N N N N N VERUS SECURITIZATION TRUST 2022-4 N/A 92538NAA5 4920091.730000 PA USD 4865455.590000 0.0449593 Long ABS-MBS CORP US N 2 2067-04-25 Fixed 4.474 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2024-2 N/A 26207AAE3 20000000.000000 PA USD 19865672.000000 0.183569 Long ABS-O CORP US N 2 2029-07-16 Fixed 4.52 N N N N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAK2 7622223.740000 PA USD 3313849.430000 0.0306217 Long ABS-MBS CORP US N 2 2037-05-25 Variable 6.03162 N N N N N N RCKT MORTGAGE TRUST 2024-CES4 N/A 74939FAA5 16048134.410000 PA USD 16183096.010000 0.14954 Long ABS-MBS CORP US N 2 2044-06-25 Variable 6.147 N N N N N N GNMA PASS THRU POOLS N/A 36179QYT2 994430.980000 PA USD 936566.310000 0.0086544 Long ABS-MBS USGSE US N 2 2045-01-20 Fixed 4 N N N N N N AEGIS ASSET BACKED SEC TR 2004-5 N/A 00764MDH7 4942797.130000 PA USD 4354753.050000 0.0402402 Long ABS-MBS CORP US N 2 2034-12-25 Floating 6.28322 N N N N N N PREFERRED RESIDENTIAL SECURITIES 2006-1X N/A G7218JAW4 4655756.160000 PA 5680179.180000 0.0524878 Long ABS-MBS CORP GB N 2 2043-12-15 Floating 5.8253 N N N N N N FREDDIE MAC-2504 N/A 31392UL44 2190.420000 PA USD 2175.890000 0.0000201 Long ABS-MBS USGSE US N 2 2032-09-17 Floating 3.06426 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-42 N/A 38376MTE7 256448.830000 PA USD 5765.330000 0.0000533 Long ABS-MBS USGSE US N 2 2046-01-20 Fixed 3 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAG8 5500000.000000 PA USD 5258302.500000 0.0485894 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.91148 N N N N N N J.P. MORGAN MORTGAGE TRUST 2023-DSC2 N/A 46657BAA2 1254236.640000 PA USD 1230165.580000 0.0113674 Long ABS-MBS CORP US N 2 2063-11-25 Variable 5.25 N N N N N N FNMA PASS THRU POOLS N/A 3138LMVK6 6617000.000000 PA USD 6304627.640000 0.058258 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 3.02 N N N N N N FREDDIE MAC REMICS 4447 N/A 3137BGXH7 201556.440000 PA USD 117849.180000 0.001089 Long ABS-MBS USGSE US N 2 2045-03-15 Floating 0 N N N N N N FREDDIE MAC REMICS 5152 N/A 3137H3BT8 23150880.970000 PA USD 3808312.970000 0.0351908 Long ABS-MBS USGSE US N 2 2051-05-25 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140FXM90 5849612.480000 PA USD 5562351.760000 0.051399 Long ABS-MBS USGSE US N 2 2059-04-01 Fixed 4.5 N N N N N N FANNIE MAE 2004-10 N/A 31393XCU9 60138.270000 PA USD 61860.370000 0.0005716 Long ABS-MBS USGSE US N 2 2034-02-25 Fixed 6 N N N N N N BEAR STEARNS ALT-A TRUST 2005-9 N/A 07386HYE5 487170.750000 PA USD 372745.840000 0.0034444 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.03116 N N N N N N FREDDIE MAC REMICS 4238 N/A 3137B4EG7 2570782.310000 PA USD 307230.850000 0.002839 Long ABS-MBS USGSE US N 2 2043-08-15 Floating 1.38795 N N N N N N N/A N/A 000000000 186900000.000000 NC USD 1223260.500000 0.0113036 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/18/25-10Y LCH 2035-09-18 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-16 XXXX 723303.000000 N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAE0 5000000.000000 PA USD 4928241.000000 0.0455395 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.26248 N N N N N N FANNIE MAE REMICS 2012-123 N/A 3136A9YV4 1678265.150000 PA USD 1307319.210000 0.0120803 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 0 N N N N N N N/A N/A 000000000 -166200000.000000 NC USD -77366.100000 -0.0007149 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 03/27/25-7Y LCH 2032-03-27 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2025-03-25 XXXX 1809003.900000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-136 N/A 38380HJC7 3753985.440000 PA USD 152332.980000 0.0014076 Long ABS-MBS USGSE US N 2 2047-01-20 Floating 0 N N N N N N N/A N/A 000000000 -95500000.000000 NC USD -666131.600000 -0.0061554 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.16100 02/10/25-10Y LCH 2035-02-10 0.000000 USD 0.000000 USD N/A USD N/A 4.160000 USD 2025-02-06 XXXX -422606.600000 N N N FNMA PASS THRU POOLS N/A 3140GN7E7 1358929.830000 PA USD 1308461.490000 0.0120909 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4 N N N N N N PAGAYA AI DEBT TRUST 2024-1 N/A 69548AAA9 441706.970000 PA USD 447165.580000 0.004132 Long ABS-O CORP US N 2 2031-07-15 Fixed 6.66 N N N N N N OSCAR US FUNDING XVII LLC 2024-2A N/A 68784BAB0 7100000.000000 PA USD 7114503.170000 0.0657417 Long ABS-O CORP US N 2 2027-12-10 Fixed 4.63 N N N N N N LCM 31 LTD N/A 50201QAL8 6750000.000000 PA USD 6770532.350000 0.0625632 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.8974 N N N N N N MFA 2024-RPL1 TRUST N/A 55287AAA3 962610.840000 PA USD 915635.530000 0.0084609 Long ABS-MBS CORP US N 2 2066-02-25 Variable 4.25 N N N N N N FREDDIE MAC REMICS 4988 N/A 3137FUNQ3 13139273.720000 PA USD 2015376.700000 0.0186231 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 2.5 N N N N N N SCCU AUTO RECEIVABLES TRUST 2023-1A N/A 805922AG6 2800000.000000 PA USD 2848915.440000 0.0263254 Long ABS-O CORP US N 2 2029-08-15 Fixed 5.7 N N N N N N PAGAYA AI DEBT TRUST 2023-5 N/A 69546PAB6 1191819.590000 PA USD 1196648.130000 0.0110576 Long ABS-O CORP US N 2 2031-04-15 Fixed 7.625 N N N N N N FNMA PASS THRU POOLS N/A 3138XE3L0 290397.530000 PA USD 270679.180000 0.0025012 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179XLD6 119490.510000 PA USD 103802.310000 0.0009592 Long ABS-MBS USGSE US N 2 2052-11-20 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138WJXQ6 26370.140000 PA USD 24475.410000 0.0002262 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4 N N N N N N N/A N/A 000000000 -2092000000.000000 NC USD -3986096.800000 -0.0368336 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written N/A USD-SOFR-COMPOUND N/A 0.030000 USD 2027-01-26 XXXX 11494703.200000 N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR13 N/A 45660LRE1 30684.920000 PA USD 27789.060000 0.0002568 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.82284 N N N N N N FREDDIE MAC REMICS 4804 N/A 3137FGLZ6 1007306.150000 PA USD 111561.370000 0.0010309 Long ABS-MBS USGSE US N 2 2048-06-15 Floating 1.43795 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAF9 16216273.060000 PA USD 3554080.030000 0.0328415 Long ABS-MBS CORP US N 2 2046-09-25 Fixed 6.5 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2007-AR2 N/A 25151UAA5 845707.620000 PA USD 774870.810000 0.0071602 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.75322 N N N N N N FREDDIE MAC REMICS 4136 N/A 3137AWM77 1377053.450000 PA USD 160339.280000 0.0014816 Long ABS-MBS USGSE US N 2 2042-11-15 Floating 1.43795 N N N N N N FNMA PASS THRU POOLS N/A 3138E6VD5 100641.670000 PA USD 94996.400000 0.0008778 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1 N/A 02149VAG4 751560.130000 PA USD 337408.410000 0.0031178 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N NAVIENT STUDENT LOAN TRUST 2017-5A N/A 63940CAA2 8067940.790000 PA USD 8007892.720000 0.073997 Long ABS-O CORP US N 2 2066-07-26 Floating 5.48327 N N N N N N FANNIE MAE REMICS 2024-88 N/A 3136BT6B4 5869001.580000 PA USD 5898259.730000 0.054503 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.76879 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2 N/A 83611MML9 9081047.320000 PA USD 8798546.840000 0.0813031 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.01322 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAA5 93658.730000 PA USD 60830.890000 0.0005621 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.82219 N N N N N N FNMA PASS THRU POOLS N/A 3140X5SX2 4579270.570000 PA USD 4139746.230000 0.0382534 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.5 N N N N N N STRUCTURED ASSET SEC CORP 2007-WF1 N/A 86358BAT9 4047430.330000 PA USD 3941264.210000 0.0364193 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.87322 N N N N N N FANNIE MAE REMICS 2012-138 N/A 3136AAEZ4 808740.410000 PA USD 17665.400000 0.0001632 Long ABS-MBS USGSE US N 2 2027-12-25 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36176PZ41 45586.650000 PA USD 44710.580000 0.0004131 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 4.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL5 N/A 362951AH8 254158.000000 PA USD 247850.180000 0.0022903 Long ABS-MBS CORP US N 2 2064-07-25 Fixed 0 N N N N N N FANNIE MAE REMICS 2004-91 N/A 31394BYB4 27968.620000 PA USD 28582.730000 0.0002641 Long ABS-MBS USGSE US N 2 2034-12-25 Fixed 5.5 N N N N N N FREDDIEMAC STRIP-401 N/A 3142G47L9 62743713.500000 PA USD 16235674.360000 0.150026 Long ABS-MBS USGSE US N 2 2053-06-25 Fixed 5 N N N N N N FREDDIE MAC REMICS 4367 N/A 3137BCL55 210351.970000 PA USD 11763.770000 0.0001087 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 1.48193 N N N N N N PEOPLE'S CHOICE HOME LOAN SECURITIES TRUST SERIES 2004-1 N/A 71085PAE3 2396194.080000 PA USD 2251552.380000 0.0208055 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.33822 N N N N N N FREDDIE MAC REMICS 4122 N/A 3137AV2Q9 266507.870000 PA USD 580.670000 0.0000054 Long ABS-MBS USGSE US N 2 2040-10-15 Floating 1.43795 N N N N N N FREDDIE MAC REMICS 4942 N/A 3137FQWA7 842957.720000 PA USD 674328.660000 0.0062311 Long ABS-MBS USGSE US N 2 2053-04-15 None 0 N N N N N N RCKT MORTGAGE TRUST 2024-CES5 N/A 74938KAA5 13692439.870000 PA USD 13792973.870000 0.127454 Long ABS-MBS CORP US N 2 2044-08-25 Variable 5.846 N N N N N N JP MORGAN MORTGAGE TRUST 2021-8 N/A 46592TBL6 2653459.720000 PA USD 2534895.980000 0.0234237 Long ABS-MBS CORP US N 2 2051-12-25 Variable 5 N N N N N N N/A N/A 000000000 -13313859.400000 PA USD -13317298.800000 -0.123059 Short RA US N 2 Reverse repurchase N 4.650000 2025-01-07 14611603.240000 USD 13668083.370000 USD AMBS N N N FANNIE MAE REMICS 2012-145 N/A 3136AAZ65 455381.360000 PA USD 12600.270000 0.0001164 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 3 N N N N N N FREDDIE MAC REMICS 3752 N/A 3137A2XC0 130534.020000 PA USD 127711.100000 0.0011801 Long ABS-MBS USGSE US N 2 2040-11-15 Fixed 4.5 N N N N N N HARVEST CLO XX DAC 20A N/A ACI1WC7B0 6659224.810000 PA 6887684.430000 0.0636457 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 3.899 N N N N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXE0 1528165.720000 PA USD 1523074.020000 0.014074 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.36822 N N N N N N TOWD POINT MORTGAGE TRUST 2018-4 N/A 89175TAA6 2215506.750000 PA USD 2064002.200000 0.0190724 Long ABS-MBS CORP US N 2 2058-06-25 Variable 3 N N N N N N NEW YORK MORTGAGE TRUST 2005-2 N/A 649603AD9 1093972.820000 PA USD 993877.260000 0.0091839 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.11322 N N N N N N UWM-2021-INV4 N/A 918307BE8 21384881.870000 PA USD 624129.540000 0.0057673 Long ABS-O CORP US N 2 2051-12-25 Variable 0.5 N N N N N N DROP MORTGAGE TRUST 2021-FILE N/A 26210YAJ5 7200000.000000 PA USD 6540504.480000 0.0604376 Long ABS-MBS CORP US N 2 2043-10-15 Floating 6.76148 N N N N N N GNMA PASS THRU POOLS N/A 36179TV77 289444.170000 PA USD 277744.310000 0.0025665 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.5 N N N N N N N/A N/A 000000000 -227500000.000000 NC USD -504595.000000 -0.0046627 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.50000 03/10/25-7Y LCH 2032-03-10 0.000000 USD 0.000000 USD N/A USD N/A 4.500000 USD 2025-03-06 XXXX 121030.000000 N N N FNMA PASS THRU POOLS N/A 31418EMN7 378677.820000 PA USD 355079.750000 0.0032811 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-172 N/A 38380B5X9 557309.970000 PA USD 15633.550000 0.0001445 Long ABS-MBS USGSE US N 2 2046-04-20 Fixed 3 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-2RA N/A 14314LAC9 2951071.840000 PA USD 2958003.580000 0.0273335 Long ABS-CBDO CORP KY N 2 2031-05-15 Floating 5.83507 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-C N/A 83206EAA5 13918073.970000 PA USD 14019657.820000 0.129549 Long ABS-O CORP US N 2 2052-06-17 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 36197MRM2 536720.590000 PA USD 501718.130000 0.0046361 Long ABS-MBS USGSE US N 2 2047-04-15 Fixed 4 N N N N N N AEGIS ASSET BACKED SEC TR 2005-1 N/A 00764MEN3 1512613.960000 PA USD 1470321.730000 0.0135865 Long ABS-MBS CORP US N 2 2035-03-25 Floating 5.15322 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A6 N/A 466285AA1 2727013.850000 PA USD 2304556.590000 0.0212953 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.77322 N N N N N N FHF ISSUER TRUST 2024-3A N/A 30339EAB4 7100000.000000 PA USD 7088620.830000 0.0655025 Long ABS-O CORP US N 2 2030-11-15 Fixed 4.94 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-3 N/A 9497ENAH6 12824000.000000 PA USD 12488545.960000 0.115401 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.55322 N N N N N N FANNIE MAE REMICS 2021-58 N/A 3136BGXZ9 7160106.460000 PA USD 491798.360000 0.0045445 Long ABS-MBS USGSE US N 2 2061-09-25 Floating 1.79303 N N N N N N FREDDIE MAC REMICS 4143 N/A 3137AX7M9 1388885.770000 PA USD 34646.030000 0.0003201 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QSM81 1093217.730000 PA USD 1012455.100000 0.0093556 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2015-64 N/A 3136AP3C4 486706.510000 PA USD 20164.590000 0.0001863 Long ABS-MBS USGSE US N 2 2045-09-25 Floating 1.44979 N N N N N N FNMA PASS THRU POOLS N/A 3140JB5N2 24991769.200000 PA USD 24769997.490000 0.228887 Long ABS-MBS USGSE US N 2 2028-02-01 Variable 4.374 N N N N N N FREDDIE MAC REMICS-3598 N/A 31398KZ94 214503.820000 PA USD 10263.300000 0.0000948 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.20051 N N N N N N GOVERNMENT NATIONAL MTGE ASSOC 2004-91 N/A 38374JJ72 239750.400000 PA USD 2613.040000 0.0000241 Long ABS-MBS USGSE US N 2 2034-11-16 Floating 1.58843 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-118 N/A 38380AUU9 416111.270000 PA USD 60643.140000 0.0005604 Long ABS-MBS USGSE US N 2 2046-09-20 Fixed 3.5 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0Y9JX6 682000.000000 PA 849865.610000 0.0078532 Long ABS-MBS CORP GB N 2 2049-12-21 Floating 7.35383 N N N N N N FANNIE MAE REMICS 2024-74 N/A 3136BS3V5 40661084.520000 PA USD 3590011.880000 0.0331736 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 1.53121 N N N N N N CSMC 2021-ADV TRUST N/A 12660WAJ4 5000000.000000 PA USD 2667607.000000 0.0246501 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.81248 N N N N N N FANNIE MAE 2005-70 N/A 31394E2B3 875143.920000 PA USD 889151.300000 0.0082162 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 5.5 N N N N N N BEAR STEARNS ALT-A TRUST 2006-4 N/A 073871AA3 4318999.590000 PA USD 3609108.950000 0.03335 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.77322 N N N N N N FANNIE MAE REMICS 2019-68 N/A 3136B6L84 7627508.930000 PA USD 894260.590000 0.0082634 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.31673 N N N N N N N/A N/A 000000000 391000000.000000 NC USD 119685.100000 0.001106 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 10/21/25-1Y LCH 2026-10-21 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-10-17 XXXX -646674.900000 N N N FNMA PASS THRU POOLS N/A 3140LLZL8 1808000.000000 PA USD 1846451.060000 0.0170622 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 5.61 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2024-A N/A 14319FAC7 1561489.950000 PA USD 1562986.330000 0.0144428 Long ABS-O CORP US N 2 2027-09-15 Floating 5.32757 N N N N N N FNMA PASS THRU POOLS N/A 3138XZFG1 124381.460000 PA USD 120014.480000 0.001109 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 4165 N/A 3137AYSK8 2837535.450000 PA USD 165834.940000 0.0015324 Long ABS-MBS USGSE US N 2 2042-12-15 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140LKYT4 2343013.170000 PA USD 2324009.810000 0.021475 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 4.32 N N N N N N N/A N/A 000000000 1.000000 NC USD 0.000000 0 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 CMBX.NA.AAA.6 N/A N/A Y Single Leg Swap 2063-05-11 0.000000 USD 0.000000 USD 0.080000 USD 0.000000 N N N GNMA PASS THRU POOLS N/A 3617G3HM9 547387.990000 PA USD 496655.450000 0.0045894 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 3.5 N N N N N N FREDDIE MAC 4836 N/A 3137FJB57 1836987.910000 PA USD 200560.140000 0.0018533 Long ABS-MBS USGSE US N 2 2048-10-15 Floating 1.43795 N N N N N N GNMA PASS THRU POOLS N/A 3617HAMT1 544463.660000 PA USD 519713.460000 0.0048024 Long ABS-MBS USGSE US N 2 2048-08-15 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179TZU2 230015.130000 PA USD 215543.100000 0.0019917 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.5 N N N N N N VISIO TRUST 2023-2 N/A 92839CAA5 3882213.880000 PA USD 3924526.910000 0.0362646 Long ABS-MBS CORP US N 2 2058-10-25 Fixed 6.598 N N N N N N FNMA PASS THRU POOLS N/A 3140QKME5 44419283.320000 PA USD 37907286.240000 0.350283 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N AMERICAN HOME MTG INV TRUST 2005-1 N/A 02660TDH3 3110.770000 PA USD 3093.820000 0.0000286 Long ABS-MBS CORP US N 2 2045-06-25 Floating 6.86204 N N N N N N J.P. MORGAN MORTGAGE TRUST 2022-1 N/A 46654WCC3 65264866.620000 PA USD 1618725.330000 0.0149579 Long ABS-O CORP US N 2 2052-07-25 Variable 0.45 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-4 N/A 75970HAG5 9077143.610000 PA USD 2850974.680000 0.0263445 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.473 N N N N N N UMBS PASS THRU POOLS N/A 01F050627 99000000.000000 PA USD 95503713.030000 0.882503 Long ABS-MBS USGSE US N 2 2055-02-13 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A 3140F2AR1 27493.630000 PA USD 25457.480000 0.0002352 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FPDG1 64782.290000 PA USD 60107.510000 0.0005554 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H21 N/A 38383KEA6 36419207.730000 PA USD 36931895.480000 0.34127 Long ABS-MBS USGSE US N 2 2073-09-20 Floating 5.5546 N N N N N N COMM MORTGAGE TRUST 2015-3BP N/A 12592TAA3 10000000.000000 PA USD 9788587.000000 0.0904516 Long ABS-MBS CORP US N 2 2035-02-10 Fixed 3.178 N N N N N N FHLMC PASS THRU POOLS N/A 3133KLZ75 35813977.670000 PA USD 30675152.500000 0.283454 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 1798807.050000 PA USD 93502.170000 0.000864 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 1.60194 N N N N N N N/A N/A 000000000 -107200000.000000 NC USD -5928.160000 -0.0000548 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.41700 01/13/25-7Y LCH 2032-01-13 0.000000 USD 0.000000 USD N/A USD N/A 4.420000 USD 2025-01-09 XXXX 187031.840000 N N N FANNIE MAE REMICS 2016-1 N/A 3136AQG46 2053852.650000 PA USD 195786.790000 0.0018092 Long ABS-MBS USGSE US N 2 2046-02-25 Floating 1.46673 N N N N N N SLM STUDENT LOAN TRUST 2003-7X N/A 763369II8 543939.050000 PA 544649.380000 0.0050328 Long DBT CORP US N 2 2033-12-15 Floating 3.436 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2018-4 N/A 59980YAB1 8758018.120000 PA USD 8561765.820000 0.0791151 Long ABS-MBS CORP US N 2 2066-04-25 Variable 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H16 N/A 38375B4Y5 102268.250000 PA USD 102214.090000 0.0009445 Long ABS-MBS USGSE US N 2 2063-07-20 Floating 5.30648 N N N N N N FREDDIE MAC REMICS 5458 N/A 3137HFYB5 39863511.450000 PA USD 3374741.230000 0.0311843 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 1.43121 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-75 N/A 31397JMF8 18937410.100000 PA USD 15382786.260000 0.142145 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 2.93373 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-115 N/A 38381YVM3 5879890.010000 PA USD 641560.090000 0.0059283 Long ABS-MBS USGSE US N 2 2049-09-20 Floating 1.56526 N N N N N N N/A N/A 000000000 1.000000 NC USD 2967305.650000 0.0274194 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 2031046.330000 USD 0.000000 USD 34700000.000000 USD 936259.320000 N N N FNMA PASS THRU POOLS N/A 3140QED66 24457255.820000 PA USD 21069893.850000 0.194697 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2016-32 N/A 3136ASTX4 45685.600000 PA USD 27447.890000 0.0002536 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 0 N N N N N N FNMA PASS THRU POOLS N/A 3140GNHP1 115749.370000 PA USD 111461.250000 0.00103 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2022-3 N/A 3136BLEX4 191315360.500000 PA USD 550337.770000 0.0050854 Long ABS-MBS USGSE US N 2 2052-02-25 Floating 0 N N N N N N FREDDIE MAC REMICS 4923 N/A 3137FPZ32 8099865.700000 PA USD 909660.280000 0.0084057 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.31673 N N N N N N FREDDIE MAC REMICS 42314 N/A 3137B9ES0 391598.830000 PA USD 74029.760000 0.0006841 Long ABS-MBS USGSE US N 2 2044-03-15 Fixed 6 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-KS8 N/A 76110W3W4 11600000.000000 PA USD 11239223.760000 0.103856 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.48822 N N N N N N FNMA PASS THRU POOLS N/A 3140LKDW0 7900000.000000 PA USD 7695590.030000 0.0711112 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.49 N N N N N N FANNIE MAE REMICS 2013-84 N/A 3136AF5K6 1952748.350000 PA USD 1420567.400000 0.0131268 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 0.73346 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110 N/A 38381YWG5 5649404.430000 PA USD 582797.650000 0.0053854 Long ABS-MBS USGSE US N 2 2049-09-20 Floating 1.56526 N N N N N N FREDDIE MAC REMICS 3607 N/A 31398LQK7 53225.370000 PA USD 44534.830000 0.0004115 Long ABS-MBS USGSE US N 2 2036-04-15 None 0 N N N N N N FREDDIE MAC REMICS 4010 N/A 3137AMUM7 5191286.440000 PA USD 848573.390000 0.0078413 Long ABS-MBS USGSE US N 2 2042-03-15 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3128KMMC6 68068.150000 PA USD 68475.160000 0.0006327 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.5 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL4 N/A 74143RAA1 8776901.900000 PA USD 8821481.540000 0.081515 Long ABS-MBS CORP US N 2 2054-07-25 Fixed 6.9961 N N N N N N FANNIE MAE REMICS 2017-87 N/A 3136AYV34 3090712.030000 PA USD 420691.960000 0.0038874 Long ABS-MBS USGSE US N 2 2047-11-25 Floating 1.51673 N N N N N N OPORTUN ISSUANCE TRUST 2024-2 N/A 68377KAA5 5022159.240000 PA USD 5034893.430000 0.046525 Long ABS-O CORP US N 2 2032-02-09 Fixed 5.86 N N N N N N ARES XXVII CLO LTD 2013-2A N/A 00190YBP9 19100000.000000 PA USD 19160810.010000 0.177056 Long ABS-CBDO CORP KY N 2 2034-10-28 Floating 5.70254 N N N N N N PAGAYA AI DEBT TRUST 2023-1 N/A 69548JAC6 606551.410000 PA USD 610969.890000 0.0056457 Long ABS-O CORP US N 2 2030-07-15 Variable 8.95413 N N N N N N FHF ISSUER TRUST 2023-2A N/A 30333LAB4 4989820.990000 PA USD 5083902.070000 0.0469779 Long ABS-O CORP US N 2 2029-10-15 Fixed 6.79 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAA4 40409.500000 PA USD 34374.550000 0.0003176 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.81322 N N N N N N FREDDIE MAC REMICS 5051 N/A 3137F7Y82 219873.410000 PA USD 25355.960000 0.0002343 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N FANNIE MAE REMICS 2014-50 N/A 3136AKXJ7 1510339.750000 PA USD 1486866.500000 0.0137394 Long ABS-MBS USGSE US N 2 2044-08-25 Floating 5.31896 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AC0 4623279.470000 PA USD 4266565.260000 0.0394253 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.91322 N N N N N N N/A N/A 000000000 1.000000 NC USD 16676760.660000 0.154102 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-20 0.000000 USD -2656945.590000 USD 679300000.000000 USD 19333706.250000 N N N COLLEGE AVE STUDENT LOANS LLC 2021-C N/A 19424WAB3 4564530.010000 PA USD 4048424.990000 0.0374095 Long ABS-O CORP US N 2 2055-07-26 Fixed 2.32 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB N/A 02147MAJ0 15817892.060000 PA USD 6647889.890000 0.0614299 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6 N N N N N N FREDDIE MAC REMICS 3921 N/A 3137AFFZ0 478166.130000 PA USD 286390.620000 0.0026464 Long ABS-MBS USGSE US N 2 2041-09-15 Floating 0.10602 N N N N N N FNMA PASS THRU POOLS N/A 3140FXFH0 14394482.110000 PA USD 12141191.760000 0.112191 Long ABS-MBS USGSE US N 2 2057-02-01 Fixed 3 N N N N N N SBNA AUTO LEASE TRUST 2023-A N/A 78436TAD8 3400000.000000 PA USD 3482830.800000 0.0321831 Long ABS-O CORP US N 2 2028-04-20 Fixed 6.52 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2009-16R N/A 12642YBP8 2608973.990000 PA USD 1316100.580000 0.0121614 Long ABS-MBS CORP US N 2 2047-01-26 Floating 4.62675 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-4 N/A 68389FJJ4 6184871.190000 PA USD 5889894.890000 0.0544257 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.14322 N N N N N N ENCORE CREDIT RECEIVABLES TRUST 2005-3 N/A 29256PAK0 3552105.530000 PA USD 3216588.560000 0.0297229 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.48822 N N N N N N PFP 2024-11 LTD N/A 69291WAA0 12195253.830000 PA USD 12297387.860000 0.113634 Long ABS-MBS CORP KY N 2 2039-09-17 Floating 6.31491 N N N N N N GNMA PASS THRU POOLS N/A 3617LKMP2 446152.390000 PA USD 400860.390000 0.0037042 Long ABS-MBS USGSE US N 2 2049-11-15 Fixed 3.5 N N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A 93364FAE1 52983.220000 PA USD 46446.980000 0.0004292 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.11012 N N N N N N BLACK DIAMOND CLO 2017-2 DAC N/A ACI1XBRF0 552603.090000 PA 572620.170000 0.0052913 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 4.079 N N N N N N GNMA PASS THRU POOLS N/A 36202E2C2 25367.520000 PA USD 26373.600000 0.0002437 Long ABS-MBS USGSE US N 2 2039-02-20 Fixed 6 N N N N N N FANNIE MAE REMICS 2014-79 N/A 3136ALF48 2627742.230000 PA USD 217657.730000 0.0020113 Long ABS-MBS USGSE US N 2 2044-06-25 Floating 0.91673 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2021-A N/A 83405YAA0 8617935.510000 PA USD 7445342.150000 0.0687988 Long ABS-O CORP US N 2 2043-08-17 Fixed 1.03 N N N N N N FANNIE MAE REMICS 2013-24 N/A 3136AB2Y8 3585055.460000 PA USD 277822.080000 0.0025672 Long ABS-MBS USGSE US N 2 2033-03-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 12064.320000 0.0001115 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-06-20 0.000000 USD -2510.530000 USD 700000.000000 USD 14574.850000 N N N LEHMAN XS TRUST 2006-14N N/A 52522CAG8 81238.100000 PA USD 84372.300000 0.0007796 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.69322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 60 N/A 38376UEU9 1459215.220000 PA USD 49579.610000 0.0004581 Long ABS-MBS USGSE US N 2 2035-01-20 Floating 1.61526 N N N N N N FNMA PASS THRU POOLS N/A 3140NWF91 25031097.780000 PA USD 24682439.370000 0.228078 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.4 N N N N N N GNMA PASS THRU POOLS N/A 3617BX3P6 447693.390000 PA USD 406199.280000 0.0037535 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 3.5 N N N N N N N/A N/A 000000000 166000000.000000 NC USD 246344.000000 0.0022763 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% FEB 30YR N/A 99.130000 USD 2025-02-06 XXXX 77750.250000 N N N MASTR ASSET BACKED SEC TR 2006-NC3 N/A 55275RAD4 2016878.640000 PA USD 991762.960000 0.0091644 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.77322 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-MC N/A 05608GAG4 11732500.000000 PA USD 11222237.150000 0.103699 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.16148 N N N N N N FANNIE MAE REMICS 2012-77 N/A 3136A6H98 606667.370000 PA USD 30047.390000 0.0002777 Long ABS-MBS USGSE US N 2 2052-07-25 Floating 1.35295 N N N N N N REACH ABS TRUST 2024-2A N/A 75525HAA8 3022003.890000 PA USD 3037661.500000 0.0280696 Long ABS-O CORP US N 2 2031-07-15 Fixed 5.88 N N N N N N FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES-DNA1 N/A 3137G0EZ8 246118.230000 PA USD 252005.130000 0.0023287 Long ABS-MBS USGSE US N 2 2027-10-25 Floating 13.8833 N N N N N N FREDDIE MAC STRIPS 389 N/A 31325YQX9 31490698.970000 PA USD 4006655.790000 0.0370236 Long ABS-MBS USGSE US N 2 2052-03-15 Fixed 2 N N N N N N FANNIE MAE INTEREST STRIP 22 N/A 31397VQG5 114898.290000 PA USD 19377.820000 0.0001791 Long ABS-MBS USGSE US N 2 2045-11-25 Fixed 3.5 N N N N N N CIFC FUNDING 2018-III LTD 2018-3A N/A 12551YAA1 7141061.190000 PA USD 7155414.220000 0.0661197 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 5.99396 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GL5 4093830.690000 PA USD 3799258.280000 0.0351071 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 9041929.180000 0.0835521 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-04-15 3002737.500000 USD 0.000000 USD 143500000.000000 USD 6039191.680000 N N N GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2024-1A N/A 36252MDG2 5000000.000000 PA 3541966.680000 0.0327296 Long ABS-O CORP CA N 2 2029-08-20 Fixed 4.827 N N N N N N FNMA PASS THRU POOLS N/A 3140QBCD8 1066404.220000 PA USD 990924.760000 0.0091567 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-11 N/A 12666TAK2 4085866.910000 PA USD 3865919.790000 0.0357231 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.97322 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GW2 3090981.320000 PA USD 1413733.250000 0.0130636 Long ABS-MBS CORP US N 2 2036-05-25 Variable 6.011 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-2 N/A 07401EAE9 1487092.130000 PA USD 1280312.560000 0.0118307 Long ABS-MBS CORP US N 2 2046-12-25 Floating 6.39821 N N N N N N N/A N/A 000000000 190000000.000000 NC USD 702031.000000 0.0064871 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.91000 09/30/25-10Y LCH 2035-09-30 0.000000 USD 0.000000 USD N/A USD N/A 2.910000 USD 2025-09-26 XXXX -2922219.000000 N N N FNMA PASS THRU POOLS N/A 3140F0CC6 51165.610000 PA USD 47484.390000 0.0004388 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 4 N N N N N N N/A N/A 000000000 187100000.000000 NC USD 1207000.810000 0.0111533 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/16/25-10Y LCH 2035-09-16 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-12 XXXX 720540.810000 N N N FANNIE MAE REMICS 2013-19 N/A 3136ACNE7 1174743.250000 PA USD 112609.710000 0.0010406 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 1.46673 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAJ9 35055473.030000 PA USD 35188596.190000 0.325161 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.76148 N N N N N N CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB8 N/A 59020UPR0 653901.920000 PA USD 645571.080000 0.0059654 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.24822 N N N N N N GNMA PASS THRU POOLS N/A 3617B4JZ1 72704.520000 PA USD 67963.630000 0.000628 Long ABS-MBS USGSE US N 2 2047-08-15 Fixed 4 N N N N N N FANNIE MAE-2006-65 N/A 31396KAA0 2220.530000 PA USD 1853.530000 0.0000171 Long ABS-MBS USGSE US N 2 2036-07-25 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31418MNF5 89902.070000 PA USD 91901.090000 0.0008492 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.474 N N N N N N FANNIE MAE-ACES 2001-M2 N/A 313920HM5 11993.270000 PA USD 11926.930000 0.0001102 Long ABS-MBS USGSE US N 2 2031-06-25 Fixed 6.3 N N N N N N FREDDIE MAC REMICS 4248 N/A 3137B4UN4 842161.490000 PA USD 746284.020000 0.006896 Long ABS-MBS USGSE US N 2 2041-05-15 Floating 0 N N N N N N EQUIFIRST LOAN SECURITIZATION TRUST 2007-1 N/A 29445UAB1 20703936.730000 PA USD 18885876.430000 0.174515 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.64322 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XQG8 410594.740000 PA USD 59683.700000 0.0005515 Long ABS-MBS USGSE US N 2 2049-05-15 Variable 4 N N N N N N ARROWMARK COLORADO HOLDINGS 2018-3A N/A 28623VAS8 3500000.000000 PA USD 3509153.410000 0.0324264 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 6.47587 N N N N N N PRPM 2024-RCF5 LLC N/A 69381JAA0 888369.040000 PA USD 861918.920000 0.0079646 Long ABS-MBS CORP US N 2 2054-08-25 Fixed 4 N N N N N N FREDDIE MAC REMICS 3607 N/A 31398LQT8 19686.880000 PA USD 16001.160000 0.0001479 Long ABS-MBS USGSE US N 2 2037-05-15 None 0 N N N N N N RCKT MORTGAGE TRUST 2024-CES6 N/A 749410AA4 6399479.340000 PA USD 6371463.060000 0.0588756 Long ABS-MBS CORP US N 2 2044-09-25 Variable 5.344 N N N N N N FNMA PASS THRU POOLS N/A 31418FBQ9 609585.960000 PA USD 622722.550000 0.0057543 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.5 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAE3 10000000.000000 PA USD 9947649.000000 0.0919214 Long ABS-O CORP US N 2 2029-04-16 Fixed 4.48 N N N N N N N/A N/A 000000000 -8619.000000 NC USD 2910247.780000 0.0268922 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2025-06-17 -2064735318.750000 USD 2910247.780000 N N N AMERICAN HOME MTGE ASSETS 2006-3 N/A 02660UAA8 7477874.080000 PA USD 6202461.340000 0.0573139 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.79522 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XWE6 1503251.400000 PA USD 280274.200000 0.0025899 Long ABS-MBS USGSE US N 2 2049-06-15 Fixed 4 N N N N N N FANNIE MAE REMICS 2020-80 N/A 3136BCZK9 2671720.630000 PA USD 2552833.070000 0.0235895 Long ABS-MBS USGSE US N 2 2050-11-25 Floating 4.86879 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57 N/A 38380B7Q2 761054.670000 PA USD 25416.640000 0.0002349 Long ABS-MBS USGSE US N 2 2045-12-20 Floating 0 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-11 N/A 69544AAC9 1500000.000000 PA USD 1500847.200000 0.0138686 Long ABS-O CORP US N 2 2032-07-15 Fixed 5.871 N N N N N N FHLMC PASS THRU POOLS N/A 3133WFCN5 2587228.340000 PA USD 2709571.280000 0.0250378 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 7 N N N N N N FNMA PASS THRU POOLS N/A 3140LKEB5 1647000.000000 PA USD 1626812.130000 0.0150326 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2013-101 N/A 3136AGYM8 10215705.970000 PA USD 1328373.790000 0.0122749 Long ABS-MBS USGSE US N 2 2043-10-25 Floating 1.26673 N N N N N N FNMA PASS THRU POOLS N/A 3138WK2J3 1247384.990000 PA USD 1197734.860000 0.0110677 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 4 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-4 N/A 64830WAD3 638652.750000 PA USD 597245.700000 0.0055189 Long ABS-MBS CORP US N 2 2058-12-25 Variable 3.5 N N N N N N FREDDIE MAC STRIPS 399 N/A 3142G4VX6 109849272.080000 PA USD 14123064.960000 0.130504 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 2 N N N N N N GCAT TRUST 2022-INV2 N/A 36168FAE8 41512533.500000 PA USD 34808051.780000 0.321644 Long ABS-MBS CORP US N 2 2052-04-25 Variable 3 N N N N N N FANNIE MAE REMICS 2024-54 N/A 3136BSSC0 6922629.930000 PA USD 6938492.440000 0.0641152 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 5.53879 N N N N N N STRUCTURED ASSET SECURITIES CORP 2006-BC5 N/A 86359SAA2 17936358.330000 PA USD 16749846.700000 0.154777 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.77322 N N N N N N MP CLO VII LTD 2015-1A N/A 55320RAQ0 3202560.780000 PA USD 3205176.060000 0.0296175 Long ABS-CBDO CORP KY N 2 2028-10-18 Floating 5.78396 N N N N N N N/A N/A 000000000 83000000.000000 NC USD 70774.100000 0.000654 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.00000 04/24/25-10Y LCH 2035-04-24 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2025-04-22 XXXX -688675.900000 N N N CPS AUTO RECEIVABLES TRUST 2024-C N/A 223920AA7 8814824.570000 PA USD 8866021.070000 0.0819266 Long ABS-O CORP US N 2 2028-02-15 Fixed 5.88 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413J6 2023275.740000 PA USD 1795501.020000 0.0165914 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.06375 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2 N/A 83613DAA4 231067.800000 PA USD 201183.870000 0.001859 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.62322 N N N N N N REACH ABS TRUST 2024-1A N/A 75526PAA9 1387047.190000 PA USD 1395969.650000 0.0128995 Long ABS-O CORP US N 2 2031-02-18 Fixed 6.3 N N N N N N N/A N/A 000000000 174500000.000000 NC USD 583109.200000 0.0053882 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% MAR 30YR N/A 99.230000 USD 2025-03-06 XXXX 310452.950000 N N N CROSS 2024-H8 MORTGAGE TRUST N/A 22757GAC7 5400000.000000 PA USD 5410582.920000 0.0499966 Long ABS-MBS CORP US N 2 2069-12-25 Variable 5.549 N N N N N N N/A N/A 000000000 -86400000.000000 NC USD -5106.240000 -0.0000472 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.41200 01/13/25-7Y LCH 2032-01-13 0.000000 USD 0.000000 USD N/A USD N/A 4.410000 USD 2025-01-09 XXXX 150413.760000 N N N MERRILL LYNCH MORTGAGE INVS 2006-HE5 N/A 59022QAD4 23184199.520000 PA USD 11712175.370000 0.108227 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.75322 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AU2 3615.560000 PA USD 3638.610000 0.0000336 Long ABS-MBS CORP US N 2 2037-02-25 Floating 7.60628 N N N N N N FREDDIE MAC REMICS 4804 N/A 3137FGM51 2008632.470000 PA USD 214951.800000 0.0019863 Long ABS-MBS USGSE US N 2 2048-05-15 Floating 1.43795 N N N N N N GNMA PASS THRU POOLS N/A 3617H4C66 505656.200000 PA USD 478936.980000 0.0044256 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.5 N N N N N N PAGAYA AI DEBT TRUST 2023-5 N/A 69546PAC4 799993.240000 PA USD 816783.500000 0.0075475 Long ABS-O CORP US N 2 2031-04-15 Fixed 9.099 N N N N N N GNMA PASS THRU POOLS N/A 36202FQ74 9220567.890000 PA USD 8952167.850000 0.0827226 Long ABS-MBS USGSE US N 2 2041-03-20 Fixed 4.5 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2024-2 N/A 26207AAD5 8800000.000000 PA USD 8778048.400000 0.0811137 Long ABS-O CORP US N 2 2028-09-15 Fixed 4.5 N N N N N N MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10 N/A 55284DAA0 5270000.000000 PA USD 5242680.850000 0.0484451 Long ABS-MBS CORP US N 2 2034-12-15 Floating 5.46733 N N N N N N FNMA PASS THRU POOLS N/A 3140QS3R0 6758739.560000 PA USD 6824376.720000 0.0630608 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5.5 N N N N N N SOUNDVIEW HOME LOAN TRUST 2005-3 N/A 83611MFQ6 3346123.890000 PA USD 3155015.380000 0.029154 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.44322 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8N84 1371172.320000 PA USD 1273726.110000 0.0117699 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2013-15 N/A 3136ACQ38 3503196.750000 PA USD 3371608.970000 0.0311554 Long ABS-MBS USGSE US N 2 2028-03-25 Fixed 1.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 15507327.980000 0.143296 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-04-05 478865.610000 USD 0.000000 USD 905300000.000000 USD 15028462.370000 N N N ACE SECURITIES CORP 2006-ASP1 N/A 004421VX8 6468269.960000 PA USD 6085077.360000 0.0562292 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.06822 N N N N N N FANNIE MAE REMICS 2012-99 N/A 3136A8TN0 3272936.240000 PA USD 454236.420000 0.0041974 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 1.91673 N N N N N N FNMA PASS THRU POOLS N/A 3140M1BT0 1803280.640000 PA USD 1484696.290000 0.0137194 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-93 N/A 38378TUW8 305262.150000 PA USD 52654.450000 0.0004866 Long ABS-MBS USGSE US N 2 2043-03-16 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3138WJN38 5561295.070000 PA USD 4866303.200000 0.0449671 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 31418XDK1 137804.080000 PA USD 133653.590000 0.001235 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 3622AC3V0 18956691.450000 PA USD 16889607.750000 0.156069 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5152 N/A 3137H3BN1 16121523.260000 PA USD 2829465.980000 0.0261457 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2012-55 N/A 3136A52M7 341610.000000 PA USD 283812.730000 0.0026226 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 3622AB6P2 7313403.990000 PA USD 7255077.980000 0.0670407 Long ABS-MBS USGSE US N 2 2049-06-20 Fixed 5 N N N N N N CMLTI 2005-HE4 N/A 17307GP77 1269615.130000 PA USD 1242595.310000 0.0114822 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.12822 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAD8 5471666.430000 PA USD 3671208.570000 0.0339239 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.69322 N N N N N N VENTURE CLO LTD 2018-33A N/A 92330YAN3 4213002.480000 PA USD 4221065.960000 0.0390048 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 5.97751 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H04 N/A 38383KQT2 5157782.870000 PA USD 5158178.990000 0.0476642 Long ABS-MBS USGSE US N 2 2074-02-20 Floating 5.3046 N N N N N N FANNIE MAE INTEREST STRIP 430 N/A 31424QLW3 89881310.550000 PA USD 8963957.480000 0.0828316 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 2 N N N N N N FANNIEMAE STRIP-428 N/A 31423YJQ3 30605336.640000 PA USD 5456129.970000 0.0504174 Long ABS-MBS USGSE US N 2 2050-03-25 Fixed 3 N N N N N N FREDDIEMAC STRIP-188 N/A 31351BGV1 6083.280000 PA USD 5805.910000 0.0000536 Long ABS-MBS USGSE US N 2 2027-10-01 None 0 N N N N N N RBSSP RESECURITIZATION TRUST 2009-6 N/A 74928XDE8 125404.690000 PA USD 108225.060000 0.0010001 Long ABS-MBS CORP US N 2 2037-06-26 Variable 5.99999 N N N N N N FREDDIE MAC REMICS 4088 N/A 3137ASRC0 1816097.630000 PA USD 1709143.100000 0.0157934 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 4 N N N N N N FANNIE MAE REMICS 2014-4 N/A 3136AH4J6 34192.260000 PA USD 3398.570000 0.0000314 Long ABS-MBS USGSE US N 2 2044-02-25 Fixed 4 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8 N/A 23245LAB6 3927165.600000 PA USD 1647246.470000 0.0152214 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A 3617HF6R2 672631.160000 PA USD 653125.930000 0.0060352 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 5 N N N N N N FANNIE MAE REMICS 2020-62 N/A 3136BBXG2 6497171.160000 PA USD 1072510.130000 0.0099105 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.5 N N N N N N N/A N/A 000000000 -60000000.000000 NC USD -734448.000000 -0.0067867 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JAN 30YR N/A 97.670000 USD 2025-01-07 XXXX -582104.250000 N N N ELLINGTON LOAN ACQUISITION TRUST 2007-2 N/A 288547AE2 6450000.000000 PA USD 6282155.520000 0.0580503 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.95322 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N3 N/A 14687WAD2 19760000.000000 PA USD 19588427.870000 0.181007 Long ABS-O CORP US N 2 2030-12-10 Fixed 4.67 N N N N N N FHLMC PASS THRU POOLS N/A 3133CDVU5 2106178.110000 PA USD 2051271.420000 0.0189548 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5 N N N N N N FREDDIE MAC REMICS 4150 N/A 3137AY4T5 1888579.420000 PA USD 915515.880000 0.0084598 Long ABS-MBS USGSE US N 2 2043-01-15 Floating 0 N N N N N N LONG BEACH MORTGAGE LOAN TR 2006-8 N/A 54251UAD8 23149969.070000 PA USD 6226730.520000 0.0575382 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.77322 N N N N N N STREAM INNOVATIONS 2024-1 ISSUER TRUST N/A 86324CAA9 3029983.610000 PA USD 3105931.360000 0.0287004 Long ABS-O CORP US N 2 2044-07-15 Fixed 6.27 N N N N N N GNMA PASS THRU POOLS N/A 3617B8J33 35644.520000 PA USD 32293.680000 0.0002984 Long ABS-MBS USGSE US N 2 2047-08-20 Fixed 3.5 N N N N N N HOME PARTNERS OF AMERICA TRUST 2021-2 N/A 43732VAT3 8631609.070000 PA USD 8191104.400000 0.07569 Long ABS-MBS CORP US N 2 2026-12-17 Fixed 1.901 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29 N/A 38376RMD5 1211656.250000 PA USD 1210863.220000 0.011189 Long ABS-MBS USGSE US N 2 2065-11-20 Floating 5.51648 N N N N N N FIRST FRANKLIN MTG LOAN 2004-FF11 N/A 32027NNB3 5671141.940000 PA USD 5444921.220000 0.0503139 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.10322 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-B N/A 83206NAC1 24762941.710000 PA USD 23627575.690000 0.218331 Long ABS-O CORP US N 2 2055-02-16 Fixed 4.55 N N N N N N FANNIE MAE INTEREST STRIP FNS 427 N/A 31423XMY4 27139588.310000 PA USD 3540552.530000 0.0327165 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2 N N N N N N FHLMC PASS THRU POOLS N/A 3132XSH37 424945.800000 PA USD 394756.100000 0.0036477 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140JA2Y3 1594696.760000 PA USD 1644451.490000 0.0151956 Long ABS-MBS USGSE US N 2 2049-08-01 Floating 5.92 N N N N N N FREDDIE MAC REMICS 5045 N/A 3137F6RW9 10151175.990000 PA USD 1454778.230000 0.0134429 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.5 N N N N N N N/A N/A 000000000 396100000.000000 NC USD 2516106.420000 0.0232501 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/12/25-10Y LCH 2035-09-12 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-10 XXXX 1418906.420000 N N N WELLS FARGO ALTERNATIVE LOAN TR 2007-PA1 N/A 94984TAH2 272454.060000 PA USD 214162.870000 0.001979 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.99322 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC4 N/A 07384YKJ4 93556.510000 PA USD 57124.100000 0.0005279 Long ABS-MBS CORP US N 2 2033-09-25 Floating 6.75322 N N N N N N FREDDIE MAC REMICS 5426 N/A 3137HCXV9 30788970.620000 PA USD 1444566.160000 0.0133485 Long ABS-MBS USGSE US N 2 2050-03-15 Floating 1.0297 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4 N/A 362948AA9 7274110.650000 PA USD 7008044.780000 0.0647579 Long ABS-MBS CORP US N 2 2061-09-25 Variable 3.9 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-160 N/A 38380B5Q4 514704.060000 PA USD 36871.600000 0.0003407 Long ABS-MBS USGSE US N 2 2046-06-20 Fixed 3 N N N N N N N/A N/A 000000000 137500000.000000 NC USD 288.750000 0.0000027 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% JAN 30YR N/A 98.470000 USD 2025-01-07 XXXX -246781.560000 N N N PAGAYA AI DEBT TRUST 2023-1 N/A 69548JAB8 2849603.920000 PA USD 2869482.190000 0.0265155 Long ABS-O CORP US N 2 2030-07-15 Fixed 9.435 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-2 N/A 07401EAC3 267694.020000 PA USD 218836.570000 0.0020222 Long ABS-MBS CORP US N 2 2046-12-25 Floating 6.37321 N N N N N N FANNIE MAE INTEREST STRIP 376 N/A 3136FC2Y1 2502.250000 PA USD 130.220000 0.0000012 Long ABS-MBS USGSE US N 2 2029-02-25 Fixed 5.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-4 N/A 126670WV6 5419474.620000 PA USD 5350359.520000 0.0494401 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.97822 N N N N N N FREDDIE MAC REMICS 4573 N/A 3137BP6Y0 5475720.280000 PA USD 836114.560000 0.0077261 Long ABS-MBS USGSE US N 2 2046-04-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LKD91 24223000.000000 PA USD 23725820.740000 0.219239 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4.59 N N N N N N FREDDIE MAC STRIPS 390 N/A 31325YXN3 25077219.150000 PA USD 5195173.510000 0.0480061 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A 36177XEZ7 48292.580000 PA USD 43423.040000 0.0004013 Long ABS-MBS USGSE US N 2 2042-06-20 Fixed 3.5 N N N N N N PREFERRED TERM SECURITIES XXI LTD / PREFERRED TERM SECURITIES XXI INC N/A 74042JAA1 1212338.060000 PA USD 1160813.690000 0.0107265 Long DBT CORP KY N 2 2038-03-22 Floating 4.70857 N N N N N N FANNIE MAE REMICS 2013-84 N/A 3136AF5D2 993308.570000 PA USD 69328.960000 0.0006406 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 1.46673 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1 N/A 36261WAB3 2770000.000000 PA USD 2340439.760000 0.0216269 Long ABS-MBS CORP US N 2 2060-12-25 Variable 2 N N N N N N FNMA PASS THRU POOLS N/A 3138WKWE1 1151841.570000 PA USD 1106678.810000 0.0102263 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 4136 N/A 3137AWM36 1114189.480000 PA USD 122071.490000 0.001128 Long ABS-MBS USGSE US N 2 2042-11-15 Floating 1.43795 N N N N N N FHLMC PASS THRU POOLS N/A 3133KPQ27 2346456.080000 PA USD 2209047.170000 0.0204127 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWMA8 6682051.440000 PA USD 6597826.790000 0.0609673 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2021-56 N/A 3136BGV99 8745974.710000 PA USD 724706.330000 0.0066967 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.5 N N N N N N FREDDIE MAC-3151 N/A 31396NU46 74027.400000 PA USD 60956.560000 0.0005633 Long ABS-MBS USGSE US N 2 2036-05-15 None 0 N N N N N N FREDDIE MAC REMICS 4797 N/A 3137F5U72 1534504.940000 PA USD 167051.270000 0.0015436 Long ABS-MBS USGSE US N 2 2048-06-15 Floating 1.43795 N N N N N N FREDDIE MAC STRIP TRUST 195 N/A 31351BTN5 879.920000 PA USD 837.600000 0.0000077 Long ABS-MBS USGSE US N 2 2028-04-01 None 0 N N N N N N N/A N/A 000000000 95200000.000000 NC USD 305401.600000 0.0028221 N/A DIR US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 Call Purchased Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.74000 11/03/25-10Y LCH 2035-11-03 0.000000 USD 0.000000 USD N/A USD N/A 2.740000 USD 2025-10-30 XXXX -408598.400000 N N N FNMA PASS THRU POOLS N/A 3140X6J51 45775989.150000 PA USD 42617366.250000 0.393806 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2019-36 N/A 3136B4P28 2767675.090000 PA USD 263874.290000 0.0024383 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 1.36673 N N N N N N MFA 2023-INV2 TRUST N/A 59319BAA5 4710705.370000 PA USD 4776253.890000 0.044135 Long ABS-MBS CORP US N 2 2058-10-25 Variable 6.775 N N N N N N N/A N/A 000000000 391000000.000000 NC USD 687104.300000 0.0063492 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/6.00000 10/21/25-10Y LCH 2035-10-21 0.000000 USD 0.000000 USD N/A USD N/A 6.000000 USD 2025-10-17 XXXX -1854395.700000 N N N GNMA PASS THRU POOLS N/A 36202FJT4 2756.090000 PA USD 2865.270000 0.0000265 Long ABS-MBS USGSE US N 2 2040-08-20 Fixed 6 N N N N N N FANNIE MAE REMICS 2013-130 N/A 3136AHJ35 1042725.050000 PA USD 8213.650000 0.0000759 Long ABS-MBS USGSE US N 2 2044-01-25 Variable 0.277027 N N N N N N FNMA PASS THRU POOLS N/A 31418EFC9 397492.860000 PA USD 372722.530000 0.0034441 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2019-30 N/A 3136B5AS4 1759988.500000 PA USD 1728606.500000 0.0159732 Long ABS-MBS USGSE US N 2 2059-07-25 Floating 5.13327 N N N N N N UMBS PASS THRU POOLS N/A 01F062622 2131300000.000000 PA USD 2173676254.270000 20.0859 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 6.5 N N N N N N NYMT LOAN TRUST 2024-INV1 N/A 62956XAA9 5077712.320000 PA USD 5049296.430000 0.0466581 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 5.379 N N N N N N FNMA PASS THRU POOLS N/A 3140JR3L3 223151.700000 PA USD 200358.630000 0.0018514 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5383 N/A 3137HBGQ1 14677156.120000 PA USD 14821344.500000 0.136957 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 5.85448 N N N N N N N/A N/A 000000000 -3963.000000 NC USD 8658505.180000 0.080009 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A 90SOFR 2026-03-17 -951640143.750000 USD 8658505.180000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2024-C N/A 83206EAB3 2802296.770000 PA USD 2813240.300000 0.0259958 Long ABS-O CORP US N 2 2052-06-17 Floating 5.69824 N N N N N N FNMA PASS THRU POOLS N/A 3140Q7MK0 1191293.360000 PA USD 1141675.560000 0.0105497 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 6255087.830000 0.0578002 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-09-30 0.000000 USD -54788.530000 USD 99250000.000000 USD 6309876.360000 N N N FNMA PASS THRU POOLS N/A 3140XPX79 3361957.050000 PA USD 3156509.770000 0.0291678 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P4 N/A 14687NAC4 1500000.000000 PA USD 1524217.200000 0.0140846 Long ABS-O CORP US N 2 2028-10-10 Fixed 6.16 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58 N/A 12668AWH4 1883820.760000 PA USD 1730233.420000 0.0159882 Long ABS-MBS CORP US N 2 2035-12-20 Floating 5.12474 N N N N N N WHITEHORSE XII LTD 12A N/A 96525YAC3 11275405.770000 PA USD 11295097.140000 0.104373 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 6.16751 N N N N N N FNMA PASS THRU POOLS N/A 3138EQ7E6 1198793.510000 PA USD 1131573.270000 0.0104563 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A 32027EAE1 2143512.640000 PA USD 2081972.610000 0.0192385 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.77322 N N N N N N FNMA PASS THRU POOLS N/A 31418NPP9 268100.890000 PA USD 258508.380000 0.0023888 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.5 N N N N N N FNMA PASS THRU POOLS N/A 3140LK3U5 7913005.180000 PA USD 7942207.730000 0.0733901 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 4.99 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2006-1 N/A 759950GV4 6712115.700000 PA USD 2867631.960000 0.0264984 Long ABS-MBS CORP US N 2 2036-05-25 Variable 5.608 N N N N N N BBCMS TRUST 2018-CBM N/A 05549RAE7 7000000.000000 PA USD 6694185.400000 0.0618577 Long ABS-MBS CORP US N 2 2037-07-15 Floating 6.58611 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440 N/A 46653DAC8 1900000.000000 PA USD 1441296.110000 0.0133183 Long ABS-MBS CORP US N 2 2036-03-15 Floating 6.26248 N N N N N N FREDDIE MAC STRIPS 363 N/A 31325XBF6 39925.020000 PA USD 5367.590000 0.0000496 Long ABS-MBS USGSE US N 2 2048-09-15 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC USD 89974.080000 0.0008314 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 4500000.000000 USD 89974.080000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-116 N/A 38379MZB3 784999.850000 PA USD 94432.030000 0.0008726 Long ABS-MBS USGSE US N 2 2044-10-16 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36179VKL3 13103781.280000 PA USD 11424395.690000 0.105567 Long ABS-MBS USGSE US N 2 2050-04-20 Fixed 3 N N N N N N MORTGAGE EQUITY CONVER ASSET TR 2007-FF1 N/A 61910AAA6 5366832.310000 PA USD 5270664.040000 0.0487036 Long ABS-MBS CORP US N 2 2042-01-25 Floating 4.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 2201686.220000 0.0203447 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-03-12 1505700.000000 USD 0.000000 USD 71700000.000000 USD 695986.220000 N N N FREDDIE MAC REMICS 5062 N/A 3137F8U27 14051670.740000 PA USD 1694975.760000 0.0156624 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2 N N N N N N FHLMC PASS THRU POOLS N/A 3132FPAH9 56105.390000 PA USD 55422.670000 0.0005121 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 4.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL5 N/A 362951AR6 111002791.240000 PA USD 94353848.890000 0.871878 Long ABS-MBS CORP US N 2 2064-07-25 Fixed 2.67245 N N N N N N FREDDIE MAC 4615 N/A 3137BRYH2 2606844.350000 PA USD 148837.780000 0.0013753 Long ABS-MBS USGSE US N 2 2038-10-15 Floating 1.55377 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAE0 30827677.280000 PA USD 30873444.050000 0.285287 Long ABS-MBS CORP US N 2 2038-07-15 Floating 5.89148 N N N N N N FANNIE MAE REMICS 2015-6 N/A 3136AMVR7 226169.050000 PA USD 15076.990000 0.0001393 Long ABS-MBS USGSE US N 2 2034-08-25 Fixed 3.5 N N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX4 N/A 75406DAD5 6974896.420000 PA USD 6779955.740000 0.0626503 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.91322 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYYA1 143486.260000 PA USD 134533.040000 0.0012432 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-NC3 N/A 61755AAB2 3539951.010000 PA USD 2680939.420000 0.0247733 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.51322 N N N N N N FNMA PASS THRU POOLS N/A 3140XA2C5 54414763.400000 PA USD 47123839.170000 0.435449 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3138LMPN7 971296.180000 PA USD 876894.050000 0.008103 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 3.43 N N N N N N FREDDIE MAC REMICS 42314 N/A 3137B9F34 1510379.890000 PA USD 1490847.660000 0.0137762 Long ABS-MBS USGSE US N 2 2044-03-15 Floating 5.21205 N N N N N N FNMA PASS THRU POOLS N/A 3140QDVB7 2787957.910000 PA USD 2487046.530000 0.0229816 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2024-38 N/A 3136BR5A1 2562448.140000 PA USD 2566209.050000 0.0237131 Long ABS-MBS USGSE US N 2 2047-12-25 Floating 5.63448 N N N N N N FREDDIE MAC REMICS 4326 N/A 3137BABQ4 9176648.010000 PA USD 6974849.890000 0.0644512 Long ABS-MBS USGSE US N 2 2054-04-15 Fixed 3.5 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNPD1 4342892.100000 PA 4500153.140000 0.0415837 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 3.904 N N N N N N FREDDIE MAC REMICS 4028 N/A 3137APDM9 125734.950000 PA USD 9470.810000 0.0000875 Long ABS-MBS USGSE US N 2 2032-02-15 Floating 1.93795 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2TB8 4600000.000000 PA 4732557.380000 0.0437313 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 3.834 N N N N N N N/A N/A 000000000 -113100000.000000 NC USD -752963.250000 -0.0069578 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.18500 03/10/25-7Y LCH 2032-03-10 0.000000 USD 0.000000 USD N/A USD N/A 4.180000 USD 2025-03-06 XXXX -512625.750000 N N N N/A N/A 000000000 1.000000 NC USD 7081383.540000 0.0654356 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-03-01 992250.000000 USD 0.000000 USD 122500000.000000 USD 6089133.540000 N N N FANNIE MAE REMICS 2015-64 N/A 3136AP5U2 227410.210000 PA USD 18961.350000 0.0001752 Long ABS-MBS USGSE US N 2 2045-02-25 Fixed 3 N N N N N N PRPM 2023-NQM3 TRUST N/A 69380TAA9 9209206.700000 PA USD 9280614.890000 0.0857577 Long ABS-MBS CORP US N 2 2068-11-25 Fixed 6.221 N N N N N N BANC OF AMERICA ALT LOAN TRUST 2007-2 N/A 059475AQ6 282456.140000 PA USD 28045.270000 0.0002592 Long ABS-O CORP US N 2 2037-06-25 Floating 2.18678 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H23 N/A 38375US27 5627452.500000 PA USD 5480030.690000 0.0506383 Long ABS-MBS USGSE US N 2 2067-11-20 Fixed 3 N N N N N N FANNIE MAE REMICS 2020-63 N/A 3136BBA36 11461894.420000 PA USD 2001527.580000 0.0184951 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 3 N N N N N N FANNIE MAE 2020-12 N/A 3136B8D89 12134457.390000 PA USD 696705.940000 0.0064379 Long ABS-MBS USGSE US N 2 2060-03-25 Variable 1.55852 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2024-2 N/A 26207AAF0 20000000.000000 PA USD 19818126.000000 0.18313 Long ABS-O CORP US N 2 2032-05-17 Fixed 4.67 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2014-8 N/A 17323AAF8 6675632.640000 PA USD 5909320.080000 0.0546052 Long ABS-MBS CORP US N 2 2037-06-27 Variable 4.49414 N N N N N N FREDDIE MAC STRIPS 365 N/A 31325XWS5 4074071.890000 PA USD 706953.040000 0.0065326 Long ABS-MBS USGSE US N 2 2049-05-15 Fixed 3.5 N N N N N N FANNIE MAE REMICS 2010-62 N/A 31398RWN1 23255.300000 PA USD 23005.250000 0.0002126 Long ABS-MBS USGSE US N 2 2040-03-25 Fixed 4.5 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-2 N/A 39571XAB0 2700000.000000 PA USD 2705849.550000 0.0250034 Long ABS-O CORP US N 2 2059-10-27 Fixed 5.25 N N N N N N FNMA PASS THRU POOLS N/A 31417EK75 951716.510000 PA USD 886401.210000 0.0081908 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H16 N/A 38380LG64 1114379.770000 PA USD 1105927.310000 0.0102193 Long ABS-MBS USGSE US N 2 2069-10-20 Floating 5.36648 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A 64830TAD0 1860008.680000 PA USD 1736770.270000 0.0160487 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31412EH82 39141.390000 PA USD 39618.610000 0.0003661 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 -80100000.000000 NC USD -512503.830000 -0.0047358 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.39100 03/28/25-10Y LCH 2035-03-28 0.000000 USD 0.000000 USD N/A USD N/A 4.390000 USD 2025-03-26 XXXX 180361.170000 N N N FNMA PASS THRU POOLS N/A 3138WB6F7 301279.260000 PA USD 284663.500000 0.0026304 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2019-20 N/A 3136B4NL8 3381375.810000 PA USD 575396.890000 0.005317 Long ABS-MBS USGSE US N 2 2049-05-25 Fixed 4 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZ44 7775000.000000 PA 5985882.350000 0.0553126 Long ABS-MBS CORP GB N 3 2066-05-16 Fixed 0 N N N N N N VMC FINANCE 2021-FL4 LLC N/A 91835RAG5 3000000.000000 PA USD 2874007.650000 0.0265573 Long ABS-MBS CORP US N 2 2036-06-16 Floating 6.73969 N N N N N N LUX 2023-LION N/A 55067LAA5 8300000.000000 PA USD 8439820.970000 0.0779883 Long ABS-MBS CORP US N 2 2040-08-15 Floating 7.08778 N N N N N N N/A N/A 000000000 1.000000 NC 238963.230000 0.0022081 N/A DFE GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 33644745.000000 GBP 42354427.430000 USD 2025-01-15 238963.230000 N N N N/A N/A 000000000 1.000000 NC USD -9967578.580000 -0.0921056 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2027-03-19 0.000000 USD -9042854.000000 USD 502900000.000000 USD -924724.580000 N N N FIRST FRANKLIN MTG LN ASSET 2004-FFH2 N/A 32027NJA0 2795947.180000 PA USD 2714874.500000 0.0250868 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.39822 N N N N N N FHLMC PASS THRU POOLS N/A 3132XVSB0 2944190.810000 PA USD 2747997.650000 0.0253929 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140FUCC0 766401.870000 PA USD 731773.930000 0.006762 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3138LNGZ8 9728000.000000 PA USD 9360991.940000 0.0865004 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 3.43 N N N N N N OBX 2023-NQM6 TRUST N/A 67117VAA8 12272000.940000 PA USD 12402685.480000 0.114607 Long ABS-MBS CORP US N 2 2063-07-25 Variable 6.52 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE6 N/A 07388UAR1 11237983.970000 PA USD 10463530.670000 0.0966884 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.90322 N N N N N N FREDDIE MAC REMICS 4043 N/A 3137APTE0 178028.310000 PA USD 3888.260000 0.0000359 Long ABS-MBS USGSE US N 2 2027-05-15 Fixed 3 N N N N N N FREDDIEMAC STRIP-314 N/A 31325UUE4 7574132.150000 PA USD 674950.080000 0.0062369 Long ABS-MBS USGSE US N 2 2043-09-15 Floating 1.17795 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H02 N/A 38380LQA4 1347239.760000 PA USD 1265319.230000 0.0116922 Long ABS-MBS USGSE US N 2 2068-12-20 Fixed 3.5 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS1 N/A 59981BAC8 1716663.650000 PA USD 1666633.890000 0.0154006 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N ACE SECURITIES CORP 2003-HE1 N/A 004421DA8 1900232.150000 PA USD 1875934.450000 0.0173346 Long ABS-MBS CORP US N 2 2033-11-25 Floating 5.42822 N N N N N N GE-WMC MORTGAGE SECURITIES LLC 2006-1 N/A 36829JAB7 12422164.860000 PA USD 5258482.510000 0.0485911 Long ABS-MBS CORP US N 2 2036-08-25 Floating 4.75322 N N N N N N FNMA PASS THRU POOLS N/A 31418EP46 24300634.480000 PA USD 24429997.210000 0.225746 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 6 N N N N N N FANNIE MAE REMICS 2020-89 N/A 3136BC5C0 9383301.310000 PA USD 1620858.330000 0.0149776 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140F9WB7 6233419.110000 PA USD 5660588.460000 0.0523067 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.5 N N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE3 N/A 590238AC5 4439299.680000 PA USD 1758410.150000 0.0162486 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.83322 N N N N N N N/A N/A 000000000 -2092000000.000000 NC USD -2171286.800000 -0.0200638 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written N/A USD-SOFR-COMPOUND N/A 0.020000 USD 2027-01-26 XXXX 7326393.200000 N N N N/A N/A 000000000 1.000000 NC USD 37751.680000 0.0003488 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 2100000.000000 USD 37751.680000 N N N FREDDIEMAC STRIP-176 N/A 31282XVL2 628.940000 PA USD 613.100000 0.0000057 Long ABS-MBS USGSE US N 2 2026-06-01 None 0 N N N N N N ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-WM2 N/A 00442KAB7 3168780.150000 PA USD 1294261.630000 0.0119596 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.57322 N N N N N N FNMA PASS THRU POOLS N/A 3140J8BG7 2042414.140000 PA USD 1927848.940000 0.0178143 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 4902 N/A 3137FN2Q2 3580232.450000 PA USD 434000.070000 0.0040104 Long ABS-MBS USGSE US N 2 2049-08-25 Floating 1.36673 N N N N N N FANNIE MAE REMICS 2018-12 N/A 3136B03F1 9157161.860000 PA USD 2030079.600000 0.018759 Long ABS-MBS USGSE US N 2 2048-03-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2012-149 N/A 3136AA2Y0 891242.500000 PA USD 21769.580000 0.0002012 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWJW2 1480502.890000 PA USD 1381882.540000 0.0127693 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9PU1 867606.120000 PA USD 833824.170000 0.007705 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4 N N N N N N FREDDIE MAC REMICS 5000 N/A 3137FVH39 17368912.660000 PA USD 2987902.830000 0.0276098 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 3 N N N N N N FREDDIEMAC STRIP-362 N/A 31325W4P4 770842.200000 PA USD 129218.770000 0.001194 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3 N N N N N N LENDBUZZ SECURITIZATION TRUST 2024-3A N/A 52609YAB7 5500000.000000 PA USD 5501221.550000 0.0508341 Long ABS-O CORP US N 2 2029-10-15 Fixed 4.97 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1 N/A 02149VAJ8 5741417.330000 PA USD 2578110.540000 0.0238231 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-135 N/A 38381AJF4 823002.160000 PA USD 730346.770000 0.0067488 Long ABS-MBS USGSE US N 2 2043-06-16 None 0 N N N N N N FREDDIE MAC-2835 N/A 31395FEZ3 34529.680000 PA USD 30151.870000 0.0002786 Long ABS-MBS USGSE US N 2 2032-12-15 None 0 N N N N N N N/A N/A 000000000 169000000.000000 NC USD 88894.000000 0.0008214 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17500 03/12/25-7Y LCH 2032-03-12 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2025-03-10 XXXX -350506.000000 N N N N/A N/A 000000000 456200000.000000 NC USD 230609.100000 0.0021309 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/04/25-1Y LCH 2026-09-04 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-02 XXXX -631608.900000 N N N FREDDIE MAC REMICS 5172 N/A 3137H4PS3 35993210.380000 PA USD 6052261.920000 0.055926 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 3 N N N N N N FANNIE MAE REMICS 2022-3 N/A 3136BLFH8 307413520.090000 PA USD 753532.020000 0.006963 Long ABS-MBS USGSE US N 2 2052-02-25 Floating 0 N N N N N N FANNIE MAE REMICS 2013-17 N/A 3136ACGZ8 1137476.950000 PA USD 107449.370000 0.0009929 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 1.41673 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES 3A N/A ACI0YB0Q6 186.000000 PA 1860825.770000 0.017195 Long ABS-MBS CORP GB N 2 2049-12-21 Variable 0 N N N N N N ANGEL OAK MORTGAGE TRUST 2024-2 N/A 034942AA0 863359.390000 PA USD 866220.390000 0.0080043 Long ABS-MBS CORP US N 2 2069-01-25 Fixed 5.985 N N N N N N N/A N/A 000000000 -12000000.000000 NC USD -54348.000000 -0.0005022 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written UMBS PASS THRU POOLS FNMA TBA 5.0% JAN 30YR N/A 96.770000 USD 2025-01-07 XXXX -27629.250000 N N N CITIGROUP MORTGAGE LOAN TRUST 2024-RP4 N/A 17332EAT9 88320000.000000 PA USD 75492588.670000 0.69759 Long ABS-MBS CORP US N 3 2064-09-25 Variable 3.672 N N N N N N FREDDIE MAC REMICS 4923 N/A 3137FPZ73 13743543.990000 PA USD 1557392.290000 0.0143911 Long ABS-MBS USGSE US N 2 2048-04-25 Floating 1.31673 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AD0 3915035.980000 PA USD 3511366.800000 0.0324468 Long ABS-MBS CORP US N 2 2047-01-25 Floating 6.07522 N N N N N N FHLMC PASS THRU POOLS N/A 3132XWE64 4152264.240000 PA USD 3857390.900000 0.0356443 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H09 N/A 38380QAW2 118372.880000 PA USD 119772.400000 0.0011068 Long ABS-MBS USGSE US N 2 2070-05-20 Floating 5.91648 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797MJ3 423000.000000 PA USD 421267.540000 0.0038927 Long DBT UST US N 2 2025-02-06 None 0 N N N N N N CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL1 N/A 16159MAA4 13331442.330000 PA USD 11798017.170000 0.10902 Long ABS-MBS CORP US N 2 2064-03-25 Variable 3.25 N N N N N N FREDDIE MAC REMICS 3005 N/A 31395WJR9 106851.590000 PA USD 105787.210000 0.0009775 Long ABS-MBS USGSE US N 2 2033-10-15 Floating 4.38446 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 4745873.690000 PA 4911753.210000 0.0453871 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 3.964 N N N N N N VASA TRUST 2021-VASA N/A 92230AAC0 12350000.000000 PA USD 11340023.180000 0.104788 Long ABS-MBS CORP US N 2 2039-07-15 Floating 5.76248 N N N N N N COLLEGE AVE STUDENT LOANS LLC 2018-A N/A 19423DAA8 987373.250000 PA USD 986295.930000 0.0091139 Long ABS-O CORP US N 2 2047-12-26 Floating 5.65322 N N N N N N FANNIE MAE REMICS 2016-76 N/A 3136ATY81 221403.440000 PA USD 9779.010000 0.0000904 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 1.36713 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-63 N/A 38383RFE2 22515189.990000 PA USD 15633804.930000 0.144464 Long ABS-MBS USGSE US N 2 2052-03-20 Fixed 3.5 N N N N N N N/A N/A 000000000 258500000.000000 NC USD 25.850000 0.0000002 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 01/15/25-10Y LCH 2035-01-15 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-01-13 XXXX -1395874.150000 N N N FANNIE MAE 2003-71 N/A 31393EKS7 330837.140000 PA USD 306124.370000 0.0028287 Long ABS-MBS USGSE US N 2 2033-08-25 Floating 1.0707 N N N N N N PAGAYA AI DEBT TRUST 2023-3 N/A 69548BAC3 923073.700000 PA USD 930574.040000 0.008599 Long ABS-O CORP US N 2 2030-12-16 Variable 8.46174 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N2 N/A 14687VAB8 5404168.200000 PA USD 5430211.970000 0.050178 Long ABS-O CORP US N 2 2027-08-10 Fixed 5.9 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-113 N/A 38380X3A3 68138.390000 PA USD 66354.100000 0.0006131 Long ABS-MBS USGSE US N 2 2042-09-20 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3140QKY85 55975895.870000 PA USD 48227542.760000 0.445647 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A N/A 14311UBA5 28500000.000000 PA USD 28503676.500000 0.263389 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.53413 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEV9 3162237.670000 PA USD 102093.790000 0.0009434 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 0 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P3 N/A 146919AD7 2875000.000000 PA USD 2818848.950000 0.0260476 Long ABS-O CORP US N 2 2030-09-10 Fixed 4.31 N N N N N N FANNIE MAE REMICS 2020-99 N/A 3136BDFY9 3579203.380000 PA USD 631502.480000 0.0058354 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3 N N N N N N CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA N/A 21050UAG3 1300000.000000 PA USD 639200.150000 0.0059065 Long ABS-O CORP US N 3 2054-11-25 Fixed 0 N N N N N N FREDDIE MAC REMICS 4116 N/A 3137AVL54 500252.860000 PA USD 44751.220000 0.0004135 Long ABS-MBS USGSE US N 2 2042-08-15 Floating 1.48795 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-11 N/A 863579RP5 893272.760000 PA USD 718956.390000 0.0066435 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.03309 N N N N N N FANNIE MAE 2010-95 N/A 31398NEY6 592387.840000 PA USD 47959.840000 0.0004432 Long ABS-MBS USGSE US N 2 2040-09-25 Floating 1.91673 N N N N N N GNMA PASS THRU POOLS N/A 21H042620 230000000.000000 PA USD 217394921.300000 2.00884 Long ABS-MBS USGSE US N 2 2055-02-20 Fixed 4.5 N N N N N N FREDDIE MAC STRIPS 183 N/A 31351BAP0 10630.890000 PA USD 10281.620000 0.000095 Long ABS-MBS USGSE US N 2 2027-04-01 None 0 N N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 15609.400000 PA USD 14610.000000 0.000135 Long ABS-MBS CORP US N 2 2034-02-25 Floating 4.77322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 60 N/A 38376UFG9 1379085.170000 PA USD 96527.410000 0.000892 Long ABS-MBS USGSE US N 2 2040-02-16 Floating 1.93843 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180 N/A 38379TGM5 860888.340000 PA USD 33993.810000 0.0003141 Long ABS-MBS USGSE US N 2 2042-06-20 Floating 0 N N N N N N VASA TRUST 2021-VASX N/A U9223AAB2 2500000.000000 PA USD 2295551.250000 0.0212121 Long ABS-MBS CORP US N 2 2039-07-15 Floating 5.76248 N N N N N N CROSS 2024-H3 MORTGAGE TRUST N/A 22758DAA7 9284162.980000 PA USD 9366721.470000 0.0865533 Long ABS-MBS CORP US N 2 2069-06-25 Fixed 6.272 N N N N N N FREDDIE MAC REMICS 5070 N/A 3137F9Y54 34273114.800000 PA USD 6071369.190000 0.0561026 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 3 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 2175235.730000 PA USD 2227034.620000 0.0205789 Long ABS-MBS CORP US N 2 2058-05-25 Floating 5.45322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H05 N/A 38380LAY9 763780.600000 PA USD 761911.710000 0.0070405 Long ABS-MBS USGSE US N 2 2068-02-20 Floating 5.61116 N N N N N N UNITED AUTO CREDIT SECURITIZATION TRUST 2024-1 N/A 90945DAA8 508729.490000 PA USD 509670.940000 0.0047096 Long ABS-O CORP US N 2 2026-08-10 Fixed 6.17 N N N N N N STRUCTURED ASSET SEC CORP 2005-RF7 N/A 86359DWT0 4614532.250000 PA USD 4070432.750000 0.0376129 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.71322 N N N N N N FREDDIE MAC STACR REMIC TRUST 2022-DNA3 N/A 35564KUX5 10900000.000000 PA USD 11298985.780000 0.104408 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 7.46879 N N N N N N ASSET BACKED FUNDING CERTS 2004-OPT5 N/A 04542BKB7 5728933.440000 PA USD 5660977.980000 0.0523103 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.70322 N N N N N N FREDDIE MAC REMICS 4100 N/A 3137ASY40 3646317.160000 PA USD 95187.470000 0.0008796 Long ABS-MBS USGSE US N 2 2027-08-15 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F060626 850816000.000000 PA USD 854073034.250000 7.89207 Long ABS-MBS USGSE US N 2 2055-02-15 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 31403TAD6 34103.460000 PA USD 33966.550000 0.0003139 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5 N N N N N N STRUCTURED ASSET SECURITIES CO-2007-BC1 N/A 86362PAA3 10017116.290000 PA USD 9503707.030000 0.0878191 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.58822 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 4609465.780000 PA USD 4636263.370000 0.0428415 Long ABS-MBS CORP US N 2 2037-10-25 Floating 5.95322 N N N N N N FANNIE MAE REMICS 2013-18 N/A 3136ACXB2 8723047.390000 PA USD 6719206.390000 0.0620889 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 0 N N N N N N VERUS SECURITIZATION TRUST 2024-6 N/A 92540JAA0 10924086.420000 PA USD 10974604.860000 0.101411 Long ABS-MBS CORP US N 2 2069-07-25 Variable 5.799 N N N N N N FANNIE MAE REMICS 2016-68 N/A 3136ATR22 772113.180000 PA USD 762213.450000 0.0070432 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 5.41896 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6 N/A 36272QAS6 103755024.520000 PA USD 85292679.070000 0.788148 Long ABS-MBS CORP US N 2 2064-01-25 Fixed 3.50595 N N N N N N FNMA PASS THRU POOLS N/A 3140AJUX4 4479969.350000 PA USD 4440477.210000 0.0410323 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 4792 N/A 3137F5B81 554589.040000 PA USD 102245.200000 0.0009448 Long ABS-MBS USGSE US N 2 2048-05-15 Fixed 4 N N N N N N RCKT MORTGAGE TRUST 2024-CES7 N/A 749414AA6 10281603.680000 PA USD 10195171.380000 0.0942086 Long ABS-MBS CORP US N 2 2044-10-25 Variable 5.158 N N N N N N FREDDIE MAC REMICS 3032 N/A 31396AHT4 308778.810000 PA USD 25276.630000 0.0002336 Long ABS-MBS USGSE US N 2 2035-09-15 Floating 1.98795 N N N N N N GNMA PASS THRU POOLS N/A 36202EZ44 10619.670000 PA USD 10570.980000 0.0000977 Long ABS-MBS USGSE US N 2 2039-02-20 Fixed 5.5 N N N N N N FREDDIE MAC REMICS 1770 N/A 3133T5Z71 17.700000 PA USD 17.660000 0.0000002 Long ABS-MBS USGSE US N 2 2025-02-15 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3138WFCP9 1858222.090000 PA USD 1728978.820000 0.0159767 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 31418CV50 447780.390000 PA USD 409459.360000 0.0037836 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 31335BMB9 1946214.610000 PA USD 1808002.880000 0.0167069 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133C65R6 2904862.470000 PA USD 2936841.780000 0.0271379 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 6 N N N N N N BX TRUST 2022-FOX2 N/A 05610AAW8 7855245.600000 PA USD 7820092.590000 0.0722617 Long ABS-MBS CORP US N 2 2039-04-15 Floating 5.14629 N N N N N N WASHINGTON MUTUAL 2005-AR16 N/A 92922F7D4 134291.630000 PA USD 120297.180000 0.0011116 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.66547 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-27 N/A 38378FZB9 1442857.130000 PA USD 1218867.120000 0.011263 Long ABS-MBS USGSE US N 2 2043-02-20 Fixed 3.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07 N/A 38383KVX7 3984088.470000 PA USD 4003655.920000 0.0369958 Long ABS-MBS USGSE US N 2 2074-04-20 Floating 5.3946 N N N N N N GREENPOINT MTGE FUNDING TR 2007-AR1 N/A 39539KAH6 7415355.900000 PA USD 6806371.280000 0.0628944 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.91322 N N N N N N FNMA PASS THRU POOLS N/A 3140LJ7K6 7368000.000000 PA USD 7201572.570000 0.0665462 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.7 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-9AR N/A 61748HQY0 2027487.700000 PA USD 1884812.170000 0.0174166 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.85575 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30 N/A 38376RLJ3 78011.380000 PA USD 78036.390000 0.0007211 Long ABS-MBS USGSE US N 2 2065-10-20 Floating 5.36648 N N N N N N RCKT MORTGAGE TRUST 2024-CES2 N/A 74938PAA4 16268243.400000 PA USD 16371013.150000 0.151277 Long ABS-MBS CORP US N 2 2044-04-25 Fixed 6.141 N N N N N N N/A N/A 000000000 1.000000 NC USD 87691.230000 0.0008103 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 3200000.000000 USD 87691.230000 N N N FHLMC PASS THRU POOLS N/A 3132XTXJ2 998643.940000 PA USD 932103.030000 0.0086131 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A 36241KV47 411609.160000 PA USD 399905.320000 0.0036953 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 4.5 N N N N N N FREDDIE MAC REMICS 5083 N/A 3137FFQB6 4194027.350000 PA USD 635977.270000 0.0058768 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.5 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2018-TWR N/A 36251SAJ7 11605000.000000 PA USD 5829191.500000 0.0538647 Long ABS-MBS CORP US N 2 2031-07-15 Floating 5.895 N N N N N N FREDDIE MAC REMICS 5468 N/A 3137HHAZ4 103126884.600000 PA USD 102109960.700000 0.943549 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.86879 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2005-FF9 N/A 32027NVZ1 5652856.830000 PA USD 6338769.960000 0.0585735 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.26322 N N N N N N FANNIE MAE REMICS 2013-17 N/A 3136ACHY0 827368.520000 PA USD 82623.090000 0.0007635 Long ABS-MBS USGSE US N 2 2042-08-25 Fixed 3.5 N N N N N N VMC FINANCE 2021-FL4 LLC N/A 91835RAE0 7000000.000000 PA USD 6830647.600000 0.0631187 Long ABS-MBS CORP US N 2 2036-06-16 Floating 6.28969 N N N N N N ASHFORD HOSPITALITY TRUST 2018-KEYS N/A 04410CAG4 11950000.000000 PA USD 11876319.890000 0.109743 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.145 N N N N N N FNMA PASS THRU POOLS N/A 3140Q9T29 269287.280000 PA USD 249740.490000 0.0023077 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-63 N/A 38383RAC1 4323276.470000 PA USD 2747809.680000 0.0253912 Long ABS-MBS USGSE US N 2 2052-01-20 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 4474 N/A 3137BJFZ1 185877.800000 PA USD 33028.240000 0.0003052 Long ABS-MBS USGSE US N 2 2045-05-15 Fixed 4 N N N N N N FANNIE MAE REMICS 2006-72 N/A 31396KJK9 7506.590000 PA USD 6430.480000 0.0000594 Long ABS-MBS USGSE US N 2 2036-08-25 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36202EY94 26884.580000 PA USD 26208.160000 0.0002422 Long ABS-MBS USGSE US N 2 2039-01-20 Fixed 5.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H33 N/A 38376RNF9 272150.290000 PA USD 271635.570000 0.0025101 Long ABS-MBS USGSE US N 2 2065-12-20 Floating 5.42648 N N N N N N MADISON PARK FUNDING XXIII LTD 2017-23A N/A 55820TAJ7 4001517.890000 PA USD 4009362.990000 0.0370486 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 5.84882 N N N N N N SECURITIZED ASSET BACKED REC 2006-HE1 N/A 81376YAC5 3023296.450000 PA USD 1048373.700000 0.0096875 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.63322 N N N N N N N/A N/A 000000000 1.000000 NC USD 83917.230000 0.0007754 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 3200000.000000 USD 83917.230000 N N N N/A N/A 000000000 229900000.000000 NC USD 864975.760000 0.0079928 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62600 03/28/25-7Y LCH 2032-03-28 0.000000 USD 0.000000 USD N/A USD N/A 3.630000 USD 2025-03-26 XXXX 172071.580000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAF7 2500000.000000 PA USD 2166348.500000 0.0200182 Long ABS-MBS CORP US N 2 2058-10-25 Variable 3.96289 N N N N N N CROSS 2024-H4 MORTGAGE TRUST N/A 22758HAA8 6268042.960000 PA USD 6309932.920000 0.058307 Long ABS-MBS CORP US N 2 2069-07-25 Fixed 6.147 N N N N N N N/A N/A 000000000 671200000.000000 NC USD 19599.040000 0.0001811 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 03/27/25-1Y LCH 2026-03-27 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-03-25 XXXX -805976.960000 N N N FREDDIEMAC STRIP-206 N/A 3128CU5E2 49286.870000 PA USD 44873.410000 0.0004147 Long ABS-MBS USGSE US N 2 2029-12-15 None 0 N N N N N N FNMA PASS THRU POOLS N/A 3138EJAY4 415872.790000 PA USD 403356.760000 0.0037272 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A 36179TSF3 6294745.200000 PA USD 5532360.090000 0.0511219 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3 N N N N N N ASSET BACKED SEC HOME EQTY LN 2007-HE2 N/A 04544TAB7 298461.400000 PA USD 208447.020000 0.0019262 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.53322 N N N N N N FREDDIE MAC-2614 N/A 31393QP30 6176.680000 PA USD 5951.640000 0.000055 Long ABS-MBS USGSE US N 2 2033-05-15 Floating 4.17168 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6 N/A 02151JAD3 2699422.100000 PA USD 2244499.020000 0.0207403 Long ABS-MBS CORP US N 2 2047-08-25 Floating 5.01322 N N N N N N FANNIE MAE REMICS 2016-32 N/A 3136ASTU0 55017.680000 PA USD 30974.880000 0.0002862 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 0 N N N N N N FNMA PASS THRU POOLS N/A 3140XKG46 24488707.120000 PA USD 24636614.750000 0.227655 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A 3140QB6E3 6719309.180000 PA USD 6401003.750000 0.0591486 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 3.5 N N N N N N FREDDIE MAC REMICS 5470 N/A 3137HHCK5 80597091.100000 PA USD 80152549.780000 0.740651 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 5.66879 N N N N N N N/A N/A 000000000 880000000.000000 NC USD 4991888.000000 0.0461276 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased N/A USD-SOFR-COMPOUND N/A 0.030000 USD 2027-10-01 XXXX -16128112.000000 N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAN5 592.760000 PA USD 590.400000 0.0000055 Long ABS-MBS CORP US N 2 2035-07-25 Floating 7.19799 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H07 N/A 38382YY98 83315401.630000 PA USD 84010910.270000 0.776304 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 5.4646 N N N N N N FNMA PASS THRU POOLS N/A 3140FXM33 29477177.870000 PA USD 24795122.570000 0.22912 Long ABS-MBS USGSE US N 2 2059-04-01 Fixed 3 N N N N N N N/A N/A 000000000 167100000.000000 NC USD 85638.750000 0.0007913 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.29150 02/27/25-7Y LCH 2032-02-27 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2025-02-25 XXXX -432371.250000 N N N N/A N/A 000000000 -101.000000 NC USD 418835.580000 0.0038703 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2025-03-20 -11979546.880000 USD 418835.580000 N N N FREDDIE MAC REMICS 5011 N/A 3137FVSK9 7544928.480000 PA USD 1773109.500000 0.0163844 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 4.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133WARZ3 3871676.920000 PA USD 3929098.380000 0.0363069 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 6 N N N N N N MORTGAGEIT TRUST 2007-1 N/A 61915YAA9 1888086.130000 PA USD 1655976.720000 0.0153021 Long ABS-MBS CORP US N 2 2047-06-25 Floating 4.91322 N N N N N N FNMA PASS THRU POOLS N/A 3140XKEW6 24892255.080000 PA USD 25027312.740000 0.231265 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 6 N N N N N N FREDDIE MAC REMICS 4979 N/A 3137FTXU6 14112715.770000 PA USD 1482803.290000 0.0137019 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.36673 N N N N N N FNMA PASS THRU POOLS N/A 31418E2F6 88069126.750000 PA USD 89956023.640000 0.83124 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.5 N N N N N N FANNIE MAE REMICS 2014-73 N/A 3136ALMD0 2128920.220000 PA USD 199843.440000 0.0018467 Long ABS-MBS USGSE US N 2 2044-11-25 Floating 1.51673 N N N N N N FNMA PASS THRU POOLS N/A 31414KGV6 3275.770000 PA USD 3202.560000 0.0000296 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 4.5 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4 N/A 802919AB6 16600297.330000 PA USD 16651331.620000 0.153867 Long ABS-O CORP US N 2 2027-07-15 Fixed 5.41 N N N N N N N/A N/A 000000000 202000000.000000 NC USD 65084.400000 0.0006014 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 10/24/25-1Y LCH 2026-10-24 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-10-22 XXXX -308615.600000 N N N FREDDIE MAC REMICS 5160 N/A 3137H3WD0 4883067.170000 PA USD 651291.290000 0.0060183 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 5013 N/A 3137FW3E8 14017242.450000 PA USD 2326019.810000 0.0214936 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.5 N N N N N N GNMA PASS THRU POOLS N/A 36179T7L3 2338876.820000 PA USD 2242520.050000 0.020722 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 4.5 N N N N N N MASTR ASSET BACKED SECURITIES 2004-OPT1 N/A 57643LCH7 805062.720000 PA USD 787844.920000 0.0072801 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.23322 N N N N N N FANNIE MAE REMICS 2021-7 N/A 3136BDB31 36975113.780000 PA USD 5689893.200000 0.0525775 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 3617G02L3 98869.870000 PA USD 92271.620000 0.0008526 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 4 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAH1 5000000.000000 PA USD 5131096.000000 0.047414 Long ABS-O CORP US N 2 2059-06-25 Fixed 7.33 N N N N N N HAYFIN EMERALD CLO X DAC 10A N/A ACI2PCMS2 2500000.000000 PA 2593338.090000 0.0239638 Long ABS-CBDO CORP IE N 2 2038-07-18 Floating 4.558 N N N N N N FREDDIE MAC REMICS 3635 N/A 31398WJ21 194694.860000 PA USD 9727.440000 0.0000899 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 0.98439 N N N N N N FREDDIE MAC REMICS 3607 N/A 31398LQS0 389858.950000 PA USD 322972.140000 0.0029844 Long ABS-MBS USGSE US N 2 2037-07-15 None 0 N N N N N N UMBS PASS THRU POOLS N/A 01F052417 38000000.000000 PA USD 38253794.020000 0.353485 Long ABS-MBS USGSE US N 2 2040-01-15 Fixed 5.5 N N N N N N FANNIE MAE REMICS 2009-50 N/A 31396QLT4 4176375.000000 PA USD 4134886.890000 0.0382085 Long ABS-MBS USGSE US N 2 2039-05-25 Fixed 3.625 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAB9 2797634.360000 PA USD 1014462.500000 0.0093742 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.75322 N N N N N N N/A N/A 000000000 1.000000 NC USD -178699.100000 -0.0016513 N/A DCR US N 3 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -539265.580000 USD 2258567.100000 USD 360566.480000 N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4B6 3358138.230000 PA USD 3365040.880000 0.0310947 Long ABS-O CORP US N 2 2032-09-15 Fixed 4.97 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3 N/A 80287LAB5 13769939.460000 PA USD 13823862.540000 0.12774 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.91 N N N N N N FNMA PASS THRU POOLS N/A 3140FT5R8 141913.910000 PA USD 131342.800000 0.0012137 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAE5 491364.920000 PA USD 489401.430000 0.0045223 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.61322 N N N N N N FHLMC PASS THRU POOLS N/A 3132WKVH8 2535395.230000 PA USD 2285643.690000 0.0211205 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.5 N N N N N N FANNIEMAE WHOLE LOAN-2002-W4 N/A 31392DUC4 14713.840000 PA USD 14506.650000 0.000134 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 4.78971 N N N N N N J.P. MORGAN MORTGAGE TRUST 2022-LTV2 N/A 46655LAE4 10765689.680000 PA USD 9358718.470000 0.0864794 Long ABS-MBS CORP US N 2 2052-09-25 Variable 3.5 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2005-1 N/A 759950FF0 5732476.280000 PA USD 5646860.600000 0.0521799 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.951 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15 N/A 38380LA78 509408.560000 PA USD 510917.020000 0.0047211 Long ABS-MBS USGSE US N 2 2069-09-20 Floating 5.66648 N N N N N N N/A N/A 000000000 1.000000 NC USD 62459.130000 0.0005772 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-05-31 0.000000 USD 0.000000 USD 2800000.000000 USD 62459.130000 N N N FANNIE MAE INTEREST STRIP 386 N/A 3136FFSR1 184368.110000 PA USD 39273.430000 0.0003629 Long ABS-MBS USGSE US N 2 2038-04-25 Fixed 6.5 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P4 N/A 14076LAD5 3700000.000000 PA USD 3684183.980000 0.0340438 Long ABS-O CORP US N 2 2030-12-10 Fixed 4.74 N N N N N N FANNIE MAE REMICS 2007-50 N/A 31396V6E3 210792.960000 PA USD 17287.870000 0.0001597 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 1.41673 N N N N N N FREDDIE MAC REMICS 4825 N/A 3137FH6Z1 1229433.120000 PA USD 208197.740000 0.0019239 Long ABS-MBS USGSE US N 2 2048-09-15 Fixed 3 N N N N N N CARMAX SELECT RECEIVABLES TRUST 2024-A N/A 14319FAD5 1700000.000000 PA USD 1720590.910000 0.0158991 Long ABS-O CORP US N 2 2028-11-15 Fixed 5.4 N N N N N N GNMA PASS THRU POOLS N/A 3617BXYV9 1014818.470000 PA USD 920530.850000 0.0085062 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 3.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-2 N/A 1266713T1 2546250.210000 PA USD 2505924.230000 0.023156 Long ABS-MBS CORP US N 2 2034-07-25 Floating 4.89322 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN4 N/A 69359QAA2 2795272.720000 PA USD 2795887.960000 0.0258354 Long ABS-MBS CORP US N 2 2051-10-25 Variable 5.4871 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 11554031.040000 PA USD 11576455.680000 0.106972 Long ABS-O CORP US N 2 2041-02-20 Floating 6.8046 N N N N N N GLAXOSMITHKLINE CAPITAL INC 5493007Q8VD7Q3ZYZS59 377372AM9 1600000.000000 PA USD 1594975.260000 0.0147384 Long DBT CORP US N 2 2025-05-15 Fixed 3.625 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAG1 8335000.000000 PA USD 8322223.280000 0.0769016 Long ABS-MBS CORP US N 2 2035-04-15 Floating 5.82 N N N N N N VERUS SECURITIZATION TRUST 2022-4 N/A 92538NAD9 3550000.000000 PA USD 3215345.760000 0.0297114 Long ABS-MBS CORP US N 2 2067-04-25 Variable 4.77801 N N N N N N FNMA PASS THRU POOLS N/A 3140AMHF1 7101566.390000 PA USD 7038962.890000 0.0650436 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 33044.380000 0.0003053 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 1600000.000000 USD 33044.380000 N N N FREDDIE MAC REMICS 4229 N/A 3137B3GS1 11960.800000 PA USD 6501.610000 0.0000601 Long ABS-MBS USGSE US N 2 2043-07-15 Floating 0 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAG5 10000000.000000 PA USD 9197463.000000 0.0849893 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 6.88969 N N N N N N FANNIE MAE REMICS 2016-55 N/A 3136ATJG0 5221423.890000 PA USD 698263.110000 0.0064523 Long ABS-MBS USGSE US N 2 2043-07-25 Fixed 3 N N N N N N FNMA PASS THRU POOLS N/A 3140FE2P8 13670.670000 PA USD 12626.710000 0.0001167 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A 3140XKJ76 13714848.100000 PA USD 11681299.160000 0.107941 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-77 N/A 38378PAG3 905188.470000 PA USD 80377.840000 0.0007427 Long ABS-MBS USGSE US N 2 2043-02-20 Fixed 3 N N N N N N OSCAR US FUNDING XVII LLC 2024-2A N/A 68784BAC8 2200000.000000 PA USD 2200798.380000 0.0203365 Long ABS-O CORP US N 2 2029-03-12 Fixed 4.47 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H18 N/A 38376RXY7 2435638.660000 PA USD 2433855.290000 0.0224901 Long ABS-MBS USGSE US N 2 2066-08-20 Floating 5.51648 N N N N N N FNMA PASS THRU POOLS N/A 3138WJT81 355516.580000 PA USD 340065.760000 0.0031424 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 4 N N N N N N FANNIE MAE REMICS 2013-83 N/A 3136AFU77 404965.410000 PA USD 192398.050000 0.0017779 Long ABS-MBS USGSE US N 2 2043-07-25 None 0 N N N N N N N/A N/A 000000000 202000000.000000 NC USD 366286.600000 0.0033847 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/6.00000 10/24/25-10Y LCH 2035-10-24 0.000000 USD 0.000000 USD N/A USD N/A 6.000000 USD 2025-10-22 XXXX -876013.400000 N N N N/A N/A 000000000 166200000.000000 NC USD 413123.340000 0.0038175 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50000 03/27/25-7Y LCH 2032-03-27 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2025-03-25 XXXX -2944116.660000 N N N FANNIE MAE REMICS 2020-99 N/A 3136BDHS0 11046050.310000 PA USD 1894536.810000 0.0175065 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 3 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAL1 24544000.000000 PA USD 21809376.240000 0.20153 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.88917 N N N N N N VERUS SECURITIZATION TRUST 2024-4 N/A 92540GAA6 7778544.660000 PA USD 7843198.370000 0.0724752 Long ABS-MBS CORP US N 2 2069-06-25 Variable 6.218 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SP013 8407.000000 PA 1303348.280000 0.0120436 Long ABS-MBS CORP GB N 3 2066-05-16 Fixed 0 N N N N N N N/A N/A 000000000 92900000.000000 NC USD 1792.970000 0.0000166 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Call Purchased NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.50000 03/04/25-7Y LCH 2032-03-04 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2025-02-28 XXXX -894692.030000 N N N SEQUOIA MORTGAGE TRUST 2024-HYB1 N/A 81749EAA3 9761218.430000 PA USD 9587495.100000 0.0885934 Long ABS-MBS CORP US N 2 2063-11-25 Variable 4.52023 N N N N N N N/A N/A 000000000 1.000000 NC USD 768859.590000 0.0071047 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-03-08 154875.000000 USD 0.000000 USD 41300000.000000 USD 613984.590000 N N N MORGAN STANLEY CAPITAL I TRUST 2017-ASHF N/A 61691KAG6 2500000.000000 PA USD 2475805.500000 0.0228777 Long ABS-MBS CORP US N 2 2034-11-15 Floating 5.945 N N N N N N FEDERAL HOME LOAN MTGE 5123 N/A 3137H15W2 26911806.600000 PA USD 4729335.570000 0.0437015 Long ABS-MBS USGSE US N 2 2049-10-25 Fixed 3 N N N N N N CONSECO FINANCE SECURITIZATION 2000-4 N/A 20846QDV7 19650449.930000 PA USD 3075562.660000 0.0284198 Long ABS-O CORP US N 2 2032-05-01 Fixed 8.31 N N N N N N IMPAC SECURED ASSETS CORP 2006-1 N/A 45254TTN4 7432.940000 PA USD 6724.910000 0.0000621 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.15322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11 N/A 38383KZS4 8003401.160000 PA USD 8101017.040000 0.0748576 Long ABS-MBS USGSE US N 2 2074-07-20 Floating 5.5046 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-138 N/A 38376MCQ8 559141.640000 PA USD 19457.630000 0.0001798 Long ABS-MBS USGSE US N 2 2045-08-20 Floating 0 N N N N N N MORGAN STANLEY IXIS REAL ESTATE CAPITAL TRUST 2006-1 N/A 61749QAD2 16132364.840000 PA USD 6383972.010000 0.0589912 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.75322 N N N N N N FREDDIE MAC REMICS 4203 N/A 3137B2EV8 632616.720000 PA USD 491380.100000 0.0045406 Long ABS-MBS USGSE US N 2 2033-05-15 Floating 0 N N N N N N UMBS PASS THRU POOLS N/A 01F050619 159200000.000000 PA USD 153664749.730000 1.41994 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A 3132AA3T9 269049.110000 PA USD 258616.940000 0.0023898 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4.5 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G3C0 13788.490000 PA USD 13486.730000 0.0001246 Long ABS-MBS CORP US N 2 2036-03-25 Floating 6.3 N N N N N N FHLMC PASS THRU POOLS N/A 3133KLAT4 36992792.600000 PA USD 33078419.860000 0.305662 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 3.5 N N N N N N CSMC 2022-RPL4 N/A 12663TAA7 3016952.650000 PA USD 2848408.780000 0.0263208 Long ABS-MBS CORP US N 2 2062-04-25 Variable 3.90435 N N N N N N JAMESTOWN CLO XVI LTD 2021-16A N/A 47048RAL9 21200000.000000 PA USD 21200175.110000 0.195901 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.58273 N N N N N N STRUCTURED ASSET INVST LN TR 2004-4 N/A 86358EHQ2 2706959.410000 PA USD 2651206.870000 0.0244985 Long ABS-MBS CORP US N 2 2034-04-25 Floating 5.25322 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 1493802.150000 PA USD 1422167.760000 0.0131416 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.83322 N N N N N N N/A N/A 000000000 -733514407.200000 PA USD -734823730.420000 -6.79015 Short RA US N 2 Reverse repurchase N 4.590000 2025-01-14 847077608.300000 USD 756948144.210000 USD AMBS N N N FREDDIE MAC REMICS 4979 N/A 3137FTYA9 27354007.010000 PA USD 3364531.920000 0.03109 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.36673 N N N N N N FNMA PASS THRU POOLS N/A 3140EBZR5 274236.260000 PA USD 253116.360000 0.0023389 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797KJ5 17814000.000000 PA USD 17655627.840000 0.163147 Long DBT UST US N 2 2025-03-20 None 0 N N N N N N FREDDIE MAC REMICS 3785 N/A 3137A5L77 582219.130000 PA USD 499688.690000 0.0046174 Long ABS-MBS USGSE US N 2 2041-01-15 Floating 0.4759 N N N N N N ICG-2021-3A N/A 449249AS0 17300000.000000 PA USD 17300000.000000 0.159861 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.52521 N N N N N N AMERIQUEST MTGE SEC INC 2004-R4 N/A 03072SRG2 374656.640000 PA USD 350965.110000 0.0032431 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.40322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20 N/A 38383KCV2 46106920.230000 PA USD 46592993.220000 0.430543 Long ABS-MBS USGSE US N 2 2073-07-20 Floating 5.5046 N N N N N N FREDDIE MAC REMICS 4040 N/A 3137AQ7C6 21968.740000 PA USD 19605.300000 0.0001812 Long ABS-MBS USGSE US N 2 2037-05-15 None 0 N N N N N N FREDDIE MAC STRIPS 389 N/A 31325YRB6 43993012.510000 PA USD 8017190.700000 0.074083 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 3.5 N N N N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9 N/A 12669GFK2 161512.550000 PA USD 157799.340000 0.0014581 Long ABS-MBS CORP US N 2 2035-01-25 Fixed 5.5 N N N N N N FREDDIE MAC 2030 N/A 3133TCXJ2 6436.600000 PA USD 6195.840000 0.0000573 Long ABS-MBS USGSE US N 2 2028-02-15 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36202FSG2 1530.950000 PA USD 1591.610000 0.0000147 Long ABS-MBS USGSE US N 2 2041-04-20 Fixed 6 N N N N N N FREDDIE MAC STRIPS 354 N/A 31325WVT6 6929070.580000 PA USD 1066720.920000 0.0098571 Long ABS-MBS USGSE US N 2 2046-12-15 Fixed 3 N N N N N N HSI ASSET SECUR CORP TRUST 2007-OPT1 N/A 40431JAD5 3531481.530000 PA USD 3087504.730000 0.0285301 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.60322 N N N N N N FNMA PASS THRU POOLS N/A 3140NABZ5 1578092.730000 PA USD 1588757.310000 0.0146809 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A 3132DWGJ6 24190858.030000 PA USD 24351813.840000 0.225023 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 6 N N N N N N FANNIE MAE REMICS 2021-96 N/A 3136BKYL0 27639485.960000 PA USD 5036906.600000 0.0465436 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 3 N N N N N N FHLMC PASS THRU POOLS N/A 3133AMBY1 1694985.360000 PA USD 1459431.160000 0.0134859 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3 N N N N N N MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-SEA1 N/A 61757MAA6 3877808.770000 PA USD 3144557.400000 0.0290573 Long ABS-MBS CORP US N 2 2047-02-25 Floating 8.25322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H01 N/A 38383KNN8 8439866.980000 PA USD 8540772.340000 0.0789211 Long ABS-MBS USGSE US N 2 2074-01-20 Floating 5.5046 N N N N N N ANGEL OAK MORTGAGE TRUST 2023-6 N/A 03464UAA4 3310770.590000 PA USD 3340775.440000 0.0308705 Long ABS-MBS CORP US N 2 2067-12-25 Fixed 6.5 N N N N N N N/A N/A 000000000 -332400000.000000 NC USD -184382.280000 -0.0017038 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.50000 12/31/25-1Y LCH 2026-12-31 0.000000 USD 0.000000 USD N/A USD N/A 5.500000 USD 2025-12-29 XXXX 11733.720000 N N N N/A N/A 000000000 684200000.000000 NC USD 425572.400000 0.0039325 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/5.00000 09/29/25-1Y LCH 2026-09-29 0.000000 USD 0.000000 USD N/A USD N/A 5.000000 USD 2025-09-25 XXXX -703357.600000 N N N FANNIE MAE INTEREST STRIP 418 N/A 31395Q3P3 24031908.560000 PA USD 3623299.750000 0.0334812 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36241KED6 267081.080000 PA USD 274621.220000 0.0025376 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 6.5 N N N N N N VALLEY FUNDING PLC 1A N/A ACI2SNZ77 1737000.000000 PA 2175908.980000 0.0201065 Long ABS-MBS CORP GB N 2 2066-05-16 Floating 8.70536 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QS1 N/A 74922KAE5 3115655.540000 PA USD 2303215.960000 0.0212829 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.00322 N N N N N N FREDDIE MAC REMICS 5040 N/A 3137F6N60 7137718.220000 PA USD 1549679.280000 0.0143198 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 4 N N N N N N N/A N/A 000000000 -880000000.000000 NC USD -2625656.000000 -0.0242624 N/A DIR US N 2 NOMURA GLOBAL FINANCIAL PRODUCTS INC. 0Z3VO5H2G7GRS05BHJ91 Put Written N/A USD-SOFR-COMPOUND N/A 0.030000 USD 2027-10-01 XXXX 11454344.000000 N N N FANNIE MAE REMICS 2018-66 N/A 3136B25R9 781691.310000 PA USD 75865.330000 0.000701 Long ABS-MBS USGSE US N 2 2048-09-25 Floating 1.46673 N N N N N N GNMA PASS THRU POOLS N/A 3620AMZ21 53241.420000 PA USD 47852.270000 0.0004422 Long ABS-MBS USGSE US N 2 2042-03-20 Fixed 3.5 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2018-TWR N/A 36251SAL2 3293000.000000 PA USD 1303040.100000 0.0120408 Long ABS-MBS CORP US N 2 2031-07-15 Floating 6.145 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-4 N/A 68403FAC0 156363.740000 PA USD 88911.140000 0.0008216 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.63322 N N N N N N FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST 2022-R06 N/A 20754NAB1 1101215.450000 PA USD 1131052.440000 0.0104515 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 7.31879 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-5 N/A 17307GXW3 278384.830000 PA USD 253283.650000 0.0023405 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.30947 N N N N N N SAPPHIRE AVIATION FINANCE I LIMITED 2018-1X N/A G7820FAA0 2859079.490000 PA USD 2795905.560000 0.0258356 Long ABS-O CORP KY N 2 2040-03-15 Fixed 4.25 N N N N N N FREDDIE MAC REMICS 4544 N/A 3137BMQG4 3839459.790000 PA USD 708340.020000 0.0065454 Long ABS-MBS USGSE US N 2 2046-01-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 5273 N/A 3137H9FR5 54993175.620000 PA USD 54310737.810000 0.501859 Long ABS-MBS USGSE US N 2 2052-11-25 Floating 5.81879 N N N N N N COUNTRYWIDE HOME LOANS 2007-17 N/A 12544KAF0 9600230.960000 PA USD 2668284.350000 0.0246563 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 6.5 N N N N N N DIAMETER CAPITAL CLO 4 LTD N/A 25255NAQ1 22600000.000000 PA USD 22800360.980000 0.210687 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 6.4859 N N N N N N FANNIE MAE REMICS 2020-40 N/A 3136B9P50 17503947.900000 PA USD 3475179.550000 0.0321124 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 2726.900000 0.0000252 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2029-03-20 0.000000 USD -6091311.500000 USD 187800000.000000 USD 6094038.400000 N N N ALTERNATIVE LOAN TRUST 2004-25CB N/A 12667FWJ0 2758898.330000 PA USD 2427409.520000 0.0224305 Long ABS-MBS CORP US N 2 2034-12-25 Fixed 6 N N N N N N FANNIE MAE REMICS 2016-52 N/A 3136AS6D3 1977201.630000 PA USD 223383.050000 0.0020642 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3 N N N N N N GS MORTGAGE SECURITIES CORP II 2010-C1 N/A 36249KAE0 7313547.740000 PA USD 11180.950000 0.0001033 Long ABS-MBS CORP US N 2 2043-08-10 Variable 0.432408 N N N N N N FREDDIE MAC REMICS 4153 N/A 3137AXQZ9 4222043.000000 PA USD 4060309.200000 0.0375193 Long ABS-MBS USGSE US N 2 2028-01-15 Fixed 1.25 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-4 N/A 07401CAD5 2020718.070000 PA USD 1701651.330000 0.0157241 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.80638 N N N N N N FANNIE MAE REMICS 2021-27 N/A 3136BHAY5 14449433.350000 PA USD 2730192.980000 0.0252284 Long ABS-MBS USGSE US N 2 2051-05-25 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133KYXR5 141871.870000 PA USD 133007.000000 0.0012291 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4 N N N N N N HUNDRED ACRE WOOD TRUST 2021-INV3 N/A 44555QAL3 6902038.880000 PA USD 6447062.690000 0.0595742 Long ABS-MBS CORP US N 2 2051-12-25 Floating 5 N N N N N N GNMA PASS THRU POOLS N/A 3617GQJT1 2689441.150000 PA USD 2567060.280000 0.023721 Long ABS-MBS USGSE US N 2 2048-07-15 Fixed 4 N N N N N N FREDDIE MAC REMICS 3753 N/A 3137A3ML0 498294.770000 PA USD 384445.730000 0.0035525 Long ABS-MBS USGSE US N 2 2040-11-15 None 0 N N N N N N CSMC 2021-ADV TRUST N/A 12660WAG0 4000000.000000 PA USD 3112966.800000 0.0287654 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.31248 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-1 N/A 35563PPH6 10447000.000000 PA USD 9842268.090000 0.0909476 Long ABS-MBS CORP US N 2 2059-08-25 Variable 4.25 N N N N N N CSMC 2021-ADV TRUST N/A 12660WAL9 10000000.000000 PA USD 4531868.000000 0.0418768 Long ABS-MBS CORP US N 2 2038-07-15 Floating 7.41248 N N N N N N FREDDIE MAC 3117 N/A 31396HUN7 36074.980000 PA USD 31200.670000 0.0002883 Long ABS-MBS USGSE US N 2 2036-02-15 Fixed 0 N N N N N N GNMA PASS THRU POOLS N/A 3617B4GK7 345799.260000 PA USD 323246.390000 0.002987 Long ABS-MBS USGSE US N 2 2047-07-15 Fixed 4 N N N N N N FANNIE MAE 2007-14 N/A 31396PE72 2491.860000 PA USD 2128.730000 0.0000197 Long ABS-MBS USGSE US N 2 2037-03-25 None 0 N N N N N N FREDDIE MAC REMICS 5060 N/A 3137F8YX5 2693157.230000 PA USD 328274.590000 0.0030334 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2 N N N N N N CIM TRUST 2023-R4 N/A 12569UAA9 2452518.690000 PA USD 2429267.340000 0.0224477 Long ABS-MBS CORP US N 2 2062-05-25 Fixed 5 N N N N N N BINOM SECURITIZATION TRUST 2022-INV1 N/A 090975AA1 23268316.460000 PA USD 22216686.280000 0.205294 Long ABS-MBS CORP US N 2 2057-08-25 Variable 4.441 N N N N N N GREENSKY HOME IMPROVEMENT TRUST 2024-1 N/A 39571MAF5 5000000.000000 PA USD 5060684.000000 0.0467633 Long ABS-O CORP US N 2 2059-06-25 Fixed 5.87 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-9 N/A 69546QAA6 6013149.500000 PA USD 6018090.500000 0.0556103 Long ABS-O CORP US N 2 2032-03-15 Fixed 5.065 N N N N N N FREDDIE MAC STRIPS 303 N/A 31325UEH5 3780198.260000 PA USD 643798.950000 0.005949 Long ABS-MBS USGSE US N 2 2043-01-15 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J5NV7 305196.450000 PA USD 283588.990000 0.0026205 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4 N N N N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAK3 5088214.790000 PA USD 1359935.310000 0.0125665 Long ABS-MBS CORP US N 2 2036-09-25 Variable 6.366 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-118 N/A 38380GNH3 2052664.770000 PA USD 67112.290000 0.0006202 Long ABS-MBS USGSE US N 2 2046-06-20 Floating 0 N N N N N N FNMA PASS THRU POOLS N/A 3140X4Y59 9555946.680000 PA USD 8142398.840000 0.07524 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3 N N N N N N FANNIE MAE REMICS 2021-84 N/A 3136BKCG5 1118395.270000 PA USD 146851.230000 0.001357 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3 N N N N N N RECETTE CLO LTD 2015-1A N/A 75620TAX6 2000000.000000 PA USD 2004002.800000 0.018518 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 6.27901 N N N N N N N/A N/A 000000000 1.000000 NC USD 67617.640000 0.0006248 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-10-31 0.000000 USD 0.000000 USD 3400000.000000 USD 67617.640000 N N N OCEAN TRAILS CLO X 2020-10A N/A 67516CAY5 1400000.000000 PA USD 1405979.530000 0.012992 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 6.3559 N N N N N N FANNIE MAE REMICS 2021-59 N/A 3136BGB75 22143631.860000 PA USD 4818292.640000 0.0445235 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 4 N N N N N N FANNIE MAE REMICS 2018-27 N/A 3136B1L77 1632958.140000 PA USD 1330054.690000 0.0122904 Long ABS-MBS USGSE US N 2 2048-05-25 None 0 N N N N N N FANNIE MAE INTEREST STRIP 430 N/A 31424QLX1 195929153.040000 PA USD 25674485.680000 0.237246 Long ABS-MBS USGSE US N 2 2052-06-25 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F052615 29276640.000000 PA USD 28893255.960000 0.266989 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QKAH1 23196135.400000 PA USD 19824659.470000 0.18319 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A 36179UGE6 6620.080000 PA USD 6502.010000 0.0000601 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 5 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-DA N/A 63941HAA0 4647082.210000 PA USD 4330109.380000 0.0400124 Long ABS-O CORP US N 2 2069-05-15 Fixed 1.69 N N N N N N N/A N/A 000000000 1.000000 NC USD 10760585.390000 0.0994333 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-05-07 3575700.000000 USD 0.000000 USD 164400000.000000 USD 7184885.390000 N N N FANNIE MAE REMICS 2013-45 N/A 3136AD3D9 196429.540000 PA USD 19155.040000 0.000177 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3 N N N N N N BNC MORTGAGE LOAN TRUST 2007-2 N/A 05569QAD6 10000000.000000 PA USD 8221719.000000 0.0759729 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.74322 N N N N N N FREDDIE MAC REMICS 5152 N/A 3137H3BV3 11235686.710000 PA USD 2951718.270000 0.0272754 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS 2021-3 N/A 3136BDR42 44282490.250000 PA USD 7269258.610000 0.0671717 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.5 N N N N N N FNMA PASS THRU POOLS N/A 3140QAEK2 3375773.860000 PA USD 3294161.220000 0.0304397 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 4.5 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-5 N/A 12668KAD5 890323.830000 PA USD 878864.650000 0.0081212 Long ABS-MBS CORP US N 2 2047-09-25 Floating 4.89322 N N N N N N FREDDIE MAC REMICS 5096 N/A 3137FYS72 31575933.980000 PA USD 5419289.140000 0.050077 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 3 N N N N N N N/A N/A 000000000 -5173.000000 NC USD -1272679.010000 -0.0117602 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A FEDERAL FUND 2025-01-31 -2062279036.830000 USD -1272679.010000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE5 N/A 073879CC0 5913869.910000 PA USD 5796316.370000 0.0535609 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.30822 N N N N N N FANNIE MAE REMICS 2016-14 N/A 3136ARNQ7 412315.310000 PA USD 51341.260000 0.0004744 Long ABS-MBS USGSE US N 2 2046-03-25 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F060618 -20000000.000000 PA USD -20095312.600000 -0.185691 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 6 N N N N N N FANNIE MAE REMICS 2019 57 N/A 3136B6QD8 3193786.340000 PA USD 342216.120000 0.0031623 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 1.36673 N N N N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 11628821.590000 PA USD 10165125.070000 0.093931 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.75322 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3 N/A 02150TAA8 239513.580000 PA USD 214960.060000 0.0019863 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.73322 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4C4 1772350.730000 PA USD 1774701.750000 0.0163992 Long ABS-O CORP US N 2 2032-09-15 Fixed 5.117 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 N/A 802920AC2 24500000.000000 PA USD 24542762.300000 0.226788 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.88 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAG7 5000000.000000 PA USD 4783782.500000 0.0442046 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.325 N N N N N N FANNIE MAE 2004-53 N/A 31394ABQ8 265005.400000 PA USD 223099.060000 0.0020616 Long ABS-MBS USGSE US N 2 2034-07-25 None 0 N N N N N N N/A N/A 000000000 151000000.000000 NC USD 264552.000000 0.0024446 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 6.0% MAR 30YR N/A 98.070000 USD 2025-03-06 XXXX -53963.630000 N N N LEHMAN XS TRUST 2007-1 N/A 525241AC9 4045084.180000 PA USD 3851193.590000 0.035587 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.69322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H10 N/A 38382Y4C4 34226409.450000 PA USD 33935002.380000 0.313577 Long ABS-MBS USGSE US N 2 2073-03-20 Floating 5.1046 N N N N N N FCCU AUTO RECEIVABLES TRUST 2024-1 N/A 30336CAE5 3900000.000000 PA USD 3951113.010000 0.0365103 Long ABS-O CORP US N 2 2029-04-16 Fixed 5.54 N N N N N N FNMA PASS THRU POOLS N/A 31418EYP9 680981.880000 PA USD 695651.480000 0.0064282 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H01 N/A 38380LPU1 3430377.850000 PA USD 3435561.840000 0.0317464 Long ABS-MBS USGSE US N 2 2068-12-20 Floating 5.21648 N N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 3364469.140000 PA USD 2882518.690000 0.026636 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.69964 N N N N N N UMBS PASS THRU POOLS N/A 01F030611 -15000000.000000 PA USD -12741796.950000 -0.117741 Short ABS-MBS USGSE US N 2 2055-01-14 Fixed 3 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126 N/A 38379QFL4 323051.970000 PA USD 185158.590000 0.001711 Long ABS-MBS USGSE US N 2 2045-09-20 Floating 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-157 N/A 38379FCF4 359491.380000 PA USD 345568.890000 0.0031932 Long ABS-MBS USGSE US N 2 2045-10-20 Floating 3.67578 N N N N N N TERWIN MORTGAGE TRUST 2007-4HE N/A 88157QAK4 4699625.820000 PA USD 2395213.650000 0.022133 Long ABS-MBS CORP US N 2 2038-05-25 Floating 4.95322 N N N N N N FANNIE MAE REMICS 2015-58 N/A 3136APU75 634521.720000 PA USD 36196.290000 0.0003345 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 1.93288 N N N N N N FREDDIE MAC REMICS 4052 N/A 3137APQH6 2048211.760000 PA USD 179687.160000 0.0016604 Long ABS-MBS USGSE US N 2 2042-05-15 Floating 1.28795 N N N N N N FREMONT HOME LOAN TRUST 2006-A N/A 35729RAE6 14810356.840000 PA USD 9250285.260000 0.0854774 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.77322 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-58 N/A 38382RFP8 3782549.580000 PA USD 117136.480000 0.0010824 Long ABS-MBS USGSE US N 2 2050-09-20 Fixed 2.5 N N N N N N FANNIE MAE REMICS 2013-20 N/A 3136ACVE8 1410292.640000 PA USD 264712.070000 0.0024461 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 4 N N N N N N INDYMAC IMSC MTGE LN TRUST 2007-AR1 N/A 456672AC8 10330668.610000 PA USD 6487169.180000 0.0599448 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.11642 N N N N N N FANNIE MAE 2006-46 N/A 31395D5N5 146863.390000 PA USD 149589.540000 0.0013823 Long ABS-MBS USGSE US N 2 2036-06-25 Fixed 5.5 N N N N N N ACE SECURITIES CORP 2007-HE3 N/A 00442GAA8 4753993.630000 PA USD 1036338.760000 0.0095763 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.89322 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAA3 5397.650000 PA USD 5331.780000 0.0000493 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.83067 N N N N N N INDIGO CREDIT MANAGEMENT II DAC 2A N/A ACI2RZXL2 2000000.000000 PA 2071699.450000 0.0191436 Long ABS-CBDO CORP IE N 2 2038-07-15 Floating 4.90407 N N N N N N FANNIE MAE REMICS 2013-1 N/A 3136ABA60 1300694.070000 PA USD 63058.300000 0.0005827 Long ABS-MBS USGSE US N 2 2043-01-25 Fixed 3 N N N N N N ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B N/A 02007G4E0 4897284.920000 PA USD 4903741.500000 0.0453131 Long ABS-O CORP US N 2 2032-09-15 Fixed 5.41 N N N N N N N/A N/A 000000000 179200000.000000 NC USD 1576.960000 0.0000146 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.78000 02/07/25-7Y LCH 2032-02-07 0.000000 USD 0.000000 USD N/A USD N/A 2.780000 USD 2025-02-05 XXXX -2077143.040000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H09 N/A 38375BLE0 68044.130000 PA USD 67967.590000 0.0006281 Long ABS-MBS USGSE US N 2 2061-03-20 Floating 5.26648 N N N N N N FREDDIE MAC REMICS 4575 N/A 3137BNU69 662239.320000 PA USD 124378.150000 0.0011493 Long ABS-MBS USGSE US N 2 2045-11-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC USD 5174648.400000 0.0478164 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-03-19 4857076.000000 USD 0.000000 USD 633000000.000000 USD 317572.400000 N N N FREDDIE MAC STRIPS 389 N/A 31325YRN0 104708684.230000 PA USD 13347249.490000 0.123336 Long ABS-MBS USGSE US N 2 2052-06-15 Fixed 2 N N N N N N PAGAYA AI DEBT GRANTOR TRUST 2024-6 N/A 69548KAA7 2001474.090000 PA USD 2022280.610000 0.0186869 Long ABS-O CORP US N 2 2031-11-15 Fixed 6.093 N N N N N N FNMA PASS THRU POOLS N/A 3140ADNY3 2730113.400000 PA USD 2706474.850000 0.0250092 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.5 N N N N N N ANGEL OAK MORTGAGE TRUST 2021-8 N/A 03465MAD5 15681000.000000 PA USD 11169350.490000 0.103211 Long ABS-MBS CORP US N 2 2066-11-25 Variable 3.29 N N N N N N FREDDIE MAC REMICS 5038 N/A 3137FXNN4 4666609.690000 PA USD 993625.740000 0.0091816 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 4 N N N N N N BX TRUST 2021-BXMF N/A 05609RAJ3 1212038.940000 PA USD 1205310.310000 0.0111377 Long ABS-MBS CORP US N 2 2026-10-15 Floating 5.70275 N N N N N N N/A N/A 000000000 83000000.000000 NC USD 1643.400000 0.0000152 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.25000 03/19/25-7Y LCH 2032-03-19 0.000000 USD 0.000000 USD N/A USD N/A 2.250000 USD 2025-03-17 XXXX -450706.600000 N N N FNMA PASS THRU POOLS N/A 3140LKTW3 3200612.170000 PA USD 3127565.970000 0.0289003 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4.53 N N N N N N VIBRANT CLO XI LTD 2019-11A N/A 92558NAN2 12125000.000000 PA USD 12160291.870000 0.112367 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 6.57901 N N N N N N 2025-03-03 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX